Atomic Bose-Einstein condensates (BECs) are highly controllable and well isolated quantum systems with long coherence times, offering applications in metrology and quantum information processing. We experimentally study multi-component Rubidium-87 BECs on an atom-chip using internal spin states. Employing state-selective potentials allows us to engineer the collisional interactions and create multi-particle entangled spin squeezed states. By means of two-tone microwave pulses, we coherently transfer a controllable fraction of the BEC to non-trapped states, thereby obtaining two spin ensembles spatially separated by more than 40 μm which can be individually manipulated. We use absorption imaging to state selectively measure all spin components, which allows us to detect spin correlations between the two BECs. We find that the correlations in this bipartite many-body system violate a non-steerability criterion, indicating the presence of Einstein-Podolsky-Rosen steering between the two BECs: measurement outcomes for non-commuting observables in one ensemble can be predicted based on a corresponding measurement in the other ensemble with an inferred uncertainty product below the Heisenberg relation.