The dynamics of two confined colloidal particles is studied by means of Brownian dynamics simulation. The autocorrelation function and cross-correlation function of the two colloidal spheres are computed by utilizing the formulae of hydrodynamic diffusion matrix expanded to different orders, as well as the accurate tensor through numerical algorithm. Furthermore, the numerical results are compared with the experimental results and the theoretical approximation. It is found that the relatively simple theoretical approximation gives good predictions when two spheres are far away from each other, but fails when the two spheres are very close.