Random distributed feedback fibre lasers belong to the class of random lasers, where the feedback is provided by amplified Rayleigh scattering on sub-micron refractive index inhomogenities randomly distributed over the fibre length. Despite the elastic nature of Rayleigh scattering, the feedback mechanism has been insofar deemed incoherent, which corresponds to the commonly observed smooth generation spectra. Here, using a real-time spectral measurement technique based on a scanning Fabry-Pérot interferometer, we observe long-living narrowband components in the random fibre laser's spectrum. Statistical analysis of the ∼104 single-scan spectra reveals a preferential interspacing for the components and their anticorrelation in intensities. Furthermore, using mutual information analysis, we confirm the existence of nonlinear correlations between different parts of the random fibre laser spectra. The existence of such narrowband spectral components, together with their observed correlations, establishes a long-missing parallel between the fields of random fibre lasers and conventional random lasers.