In this paper we derive an exact master equation for two coupled quantum harmonic oscillators interacting via bilinear coupling with a common environment at arbitrary temperature made up of many harmonic oscillators with a general spectral density function. We first show a simple derivation based on the observation that the two harmonic oscillator model can be effectively mapped into that of a single harmonic oscillator in a general environment plus a free harmonic oscillator. Since the exact one harmonic oscillator master equation is available [B. L. Hu, J. P. Paz, and Y. Zhang, Phys. Rev. D 45, 2843 (1992)], the exact master equation with all its coefficients for this two harmonic oscillator model can be easily deduced from the known results of the single harmonic oscillator case. In the second part we give an influence functional treatment of this model and provide explicit expressions for the evolutionary operator of the reduced density matrix which are useful for the study of decoherence and disentanglement issues. We show three applications of this master equation: on the decoherence and disentanglement of two harmonic oscillators due to their interaction with a common environment under Markovian approximation, and a derivation of the uncertainty principle at finite temperature for a composite object, modeled by two interacting harmonic oscillators. The exact master equation for two, and its generalization to N, harmonic oscillators interacting with a general environment are expected to be useful for the analysis of quantum coherence, entanglement, fluctuations, and dissipation of mesoscopic objects toward the construction of a theoretical framework for macroscopic quantum phenomena.