Uplink-downlink duality refers to the fact that the Gaussian broadcast channel has the same capacity region as the dual Gaussian multiple-access channel under the same sum-power constraint. This paper investigates a similar duality relationship between the uplink and downlink of a cloud radio access network (C-RAN), where a central processor (CP) cooperatively serves multiple mobile users through multiple remote radio heads (RRHs) connected to the CP with finite-capacity fronthaul links. The uplink of such a C-RAN model corresponds to a multiple-access relay channel; the downlink corresponds to a broadcast relay channel. This paper considers compression-based relay strategies in both uplink and downlink C-RAN, where the quantization noise levels are functions of the fronthaul link capacities. If the fronthaul capacities are infinite, the conventional uplink-downlink duality applies. The main result of this paper is that even when the fronthaul capacities are finite, duality continues to hold for the case where independent compression is applied across each RRH in the sense that when the transmission and compression designs are jointly optimized, the achievable rate regions of the uplink and downlink remain identical under the same sum-power and individual fronthaul capacity constraints. As an application of the duality result, the power minimization problem in downlink C-RAN can be efficiently solved based on its uplink counterpart.