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Correlations are fundamental in describing many-body systems. However, in experiments, correlations are notoriously difficult to assess on a microscopic scale, especially for electron spins. Even though it is firmly established theoretically that the electrons in a Cooper pair(1) of a superconductor form maximally spin-entangled singlet states with opposite spin projections(2-4), no spin correlation experiments have been demonstrated so far. Here we report the direct measurement of the spin cross-correlations between the currents of a Cooper pair splitter(5-13), an electronic device that emits electrons originating from Cooper pairs. We use ferromagnetic split-gates(14,15), compatible with nearby superconducting structures, to individually spin polarize the transmissions of the quantum dots in the two electronic paths, which act as tunable spin filters. The signals are detected in standard transport and in highly sensitive transconductance experiments. We find that the spin cross-correlation is negative, consistent with spin singlet emission, and deviates from the ideal value mostly due to the overlap of the Zeeman split quantum dot states. Our results demonstrate a new route to perform spin correlation experiments in nano-electronic devices, especially suitable for those relying on magnetic field sensitive superconducting elements, like triplet or topologically non-trivial superconductors(16-18), or to perform Bell tests with massive particles(19,20).