C: divorce and mental illness are both caused by other factors, such as a difficult childhood

This answer is true, but so are one or more others.  A correlation can arise when one factor causes another, but it cannot prove that one factor causes another.  Very importantly, a correlation cannot tell us for sure whether some third factor (in this case, a difficult childhood) causes the two factors in the correlation above to go together.  All we know for sure is that they are associated, but we don't know why or how.