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Correlated imaging offers great potentiality, with respect to standard imaging, to obtain the imaging of objects located in optically harsh or noisy environment. It can solve the problems which are difficult to solve by conventional imaging techniques. Recently, it has become one of the hot topics in quantum optics. In this paper, we propose a new scheme of correlated imaging with differential correlated imaging based on compressive sensing, named differential compressive correlated imaging. The new scheme takes advantage of the high signal-to-noise ratio of the differential correlated imaging and low-imaging sampling frequency of the compressed sensing technique. In the scheme, we utilize the intensity of the thermal light, which is in line with the Gaussian distribution, as the measurement matrix of compressive sensing. We extract the differential object information as the image object information which could be recovered via orthogonal matching pursuit algorithm with high quality. By numerical simulations, we verify the proposed scheme. Here, we select the two gray-scale images, such as double-slit and NUPT, as well as the two multi-grayscale images (Lena and Boats) as the object. We take sampling 350 times in differential compressive correlated imaging for measurement. The numerical simulation results show that for the above image objects, the average mean-square error (MSE) over 10 times for the differential compressive correlated imaging scheme is reduced by 97.7%, 93.9%, 92.5% and 71.4% respectively with respect to that of the differential correlated imaging scheme. Moreover, compared with the compressive ghost imaging, the MSE value of the same double-slit in CDGI, as well as Lena and Boats under the same conditions, is reduced by 50.4%, 72.9% and 66.8% separately, which indicates that the compressive differential correlated imaging scheme can greatly improve the signal-to-noise ratio of the imaging, and significantly reduce the imaging time.