Entanglement is the defining feature of quantum mechanics, and understanding the phenomenon is essential at the foundational level and for future progress in quantum technology. The concept of steering was introduced in 1935 by Schrodinger as a generalization of the Einstein-Podolsky-Rosen (EPR) paradox. Surprisingly, it has only recently been formalized as a quantum information task with arbitrary bipartite states and measurements, for which the existence of entanglement is necessary but not sufficient. Previous experiments in this area have been restricted to the approach of Reid [PRA 40, 913], which followed the original EPR argument in considering only two different measurement settings per side. Here we implement more than two settings so as to be able to demonstrate experimentally, for the first time, that EPR-steering occurs for mixed entangled states that are Bell-local (that is, which cannot possibly demonstrate Bell-nonlocality). Unlike the case of Bell inequalities, increasing the number of measurement settings beyond two--we use up to six--dramatically increases the robustness of the EPR-steering phenomenon to noise.