In 1935, Einstein, Podolsky and Rosen (EPR) questioned the completeness of quantum mechanics by devising a quantum state of two massive particles with maximally correlated space and momentum coordinates. The EPR criterion qualifies such continuous-variable entangled states, where a measurement of one subsystem seemingly allows for a prediction of the second subsystem beyond the Heisenberg uncertainty relation. Up to now, continuous-variable EPR correlations have only been created with photons, while the demonstration of such strongly correlated states with massive particles is still outstanding. Here we report on the creation of an EPR-correlated two-mode squeezed state in an ultracold atomic ensemble. The state shows an EPR entanglement parameter of 0.18(3), which is 2.4 s.d. below the threshold 1/4 of the EPR criterion. We also present a full tomographic reconstruction of the underlying many-particle quantum state. The state presents a resource for tests of quantum nonlocality and a wide variety of applications in the field of continuous-variable quantum information and metrology.