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For any region \\(D\\subset \\mathbb{R}^2\\) and each function \\(K: D\\to \\mathbb{R}\\) put  \\[ D_W K(s, t):= \\sum_{w\\in W} \\text{det } w \\prod_{j=1}^n K \\bigl(s_j, w(t)_j \\bigr) \\]  for \\(s,t\\in \\mathbb{R}^n\\) with \\((s_j, w(t)_j)\\in D\\) for all \\(w\\in W\\) and \\(j=1, \\dots,n\\). Generalizing the classical concept of total positivity due to S. Karlin, the authors say that \\(K\\) is totally positive definite with respect to \\(W\\) if \\(D_W K(S, t)\\geq 0\\) for all admissible \\(s\\), \\(t\\) contained in the fundamental Weyl chamber in \\(\\mathbb{R}^n\\). In case of \\(W= S_n\\), the symmetric group of order \\(n\\), this notion reduces to the classical one. For this generalized concept of total positivity a basic composition theorem is given.    Moreover, if \\(W\\) is the Weyl group of a compact connected Lie group, then an integral formula of Harish-Chandra is used to construct examples of totally positive definite functions. In particular it turns out that \\(K(x,y):= e^{xy}\\) \\((x,y\\in \\mathbb{R})\\) is totally positive definite with respect to any Weyl group \\(W\\). Finally, as an application, an FKG-type correlation inequality is derived for the Weyl group of 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