Non-locality is a fundamental property of quantum mechanics that manifests itself as correlations between spatially separated parts of a quantum system. A fundamental route for the exploration of such phenomena is the generation of Einstein-Podolsky-Rosen (EPR) pairs of quantum-entangled objects for the test of so-called Bell inequalities. Whereas such experimental tests of non-locality have been successfully conducted with pairwise entangled photons, it has not yet been possible to realize an electronic analogue of it in the solid state, where spin-1/2 mobile electrons are the natural quantum objects. The difficulty stems from the fact that electrons are immersed in a macroscopic ground state-the Fermi sea-which prevents the straightforward generation and splitting of entangled pairs of electrons on demand. A superconductor, however, could act as a source of EPR pairs of electrons, because its ground-state is composed of Cooper pairs in a spin-singlet state. These Cooper pairs can be extracted from a superconductor by tunnelling, but, to obtain an efficient EPR source of entangled electrons, the splitting of the Cooper pairs into separate electrons has to be enforced. This can be achieved by having the electrons 'repel' each other by Coulomb interaction. Controlled Cooper pair splitting can thereby be realized by coupling of the superconductor to two normal metal drain contacts by means of individually tunable quantum dots. Here we demonstrate the first experimental realization of such a tunable Cooper pair splitter, which shows a surprisingly high efficiency. Our findings open a route towards a first test of the EPR paradox and Bell inequalities in the solid state.