Foreign keys seem no to get copied when copying entire DB to another one. When moving DB then FKs are moved as well.
E.g.: I have DB1 with FKs in some tables. Marking all tables and choosing to copy them to DB2 does not copy FKs. Whereas moving DB1 to DB2 moves FKs as well.
MySQL: 5.5.32 (PHP, MySQLi)