A crucial point in the debate on the feasibility of earthquake predictions is the dependence of an earthquake magnitude from past seismicity. Indeed, while clustering in time and space is widely accepted, much more questionable is the existence of magnitude correlations. The standard approach generally assumes that magnitudes are independent and therefore in principle unpredictable. Here we show the existence of clustering in magnitude: earthquakes occur with higher probability close in time, space, and magnitude to previous events. More precisely, the next earthquake tends to have a magnitude similar but smaller than the previous one. A dynamical scaling relation between magnitude, time, and space distances reproduces the complex pattern of magnitude, spatial, and temporal correlations observed in experimental seismic catalogs.