Effective multi-agent coordination requires aligning incentives while adhering to complex requirements. However, real-world systems often impose situational constraints, context-dependent requirements triggered only under specific conditions, which challenge standard Correlated Equilibria (CE) solutions. We propose Situational-Constrained Density-Based Correlated Equilibria (SC-DBCE), a novel concept in Markov Games that formalizes situational constraints as logic implications. To solve this, we introduce Situational-Constrained Correlated Policy Iteration (SC-CPI), a reinforcement learning algorithm employing a smooth Log-Sum-Exp mechanism for constraint optimization. Evaluations on multi-agent games, smart grids, and warehouse robotics demonstrate that SC-CPI consistently outperforms baselines in both equilibrium quality and constraint adherence. To our knowledge, this is the first method learning CE under situational constraints.