In various chemical systems, enthalpy-entropy compensation (EEC) is a well-known rule of behavior, although the physical roots of it are still not completely understood. It has been frequently questioned whether EEC is a truly physical phenomenon or a coincidence due to trivial mathematical connections between statistical-mechanical parameters—or even simpler: A phantom effect resulting from the misinterpretation of experimental data. Here, we review EEC from another standpoint using the notion of correlation, which is essential for the method of factor analysis but is not conventional in physics and chemistry. We conclude that the EEC may be rationalized in terms of hidden (not directly measurable with the help of the current experimental set-up) but physically real factors, implying a Carnot-cycle model in which a micro-phase transition (MPT) plays a crucial role. Examples of such MPTs underlying physically valid EEC should be typically cooperative processes in supramolecular aggregates, like changes of structured water at hydrophobic surfaces, conformational transitions upon ligand-biopolymer binding, and so on. The MPT notion could help rationalize the occurrence of EEC in connection with hydration and folding of proteins, enzymatic reactions, functioning of molecular motors, DNA de- and rehybridization, as well as similar phenomena.