Online interactive recommender systems strive to promptly suggest users appropriate items (e.g., movies and news articles) according to the current context including both user and item content information. Such contextual information is often unavailable in practice, where only the users' interaction data on items can be utilized by recommender systems. The lack of interaction records, especially for new users and items, inflames the performance of recommendation further. To address these issues, both collaborative filtering, one of the most popular recommendation techniques relying on the interaction data only, and bandit mechanisms, capable of achieving the balance between exploitation and exploration, are adopted into an online interactive recommendation setting assuming independent items (i.e., arms). This assumption rarely holds in reality, since the real-world items tend to be correlated with each other. In this paper, we study online interactive collaborative filtering problems by considering the dependencies among items. We explicitly formulate item dependencies as the clusters of arms in the bandit setting, where the arms within a single cluster share the similar latent topics. In light of topic modeling techniques, we come up with a novel generative model to generate the items from their underlying topics. Furthermore, an efficient particle-learning based online algorithm is developed for inferring both latent parameters and states of our model by taking advantage of the fully adaptive inference strategy of particle learning techniques. Additionally, our inferred model can be naturally integrated with existing multi-armed selection strategies in an interactive collaborative filtering setting. Empirical studies on two real-world applications, online recommendations on movies and news, demonstrate both the effectiveness and efficiency of our proposed approach.