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Correlations are fundamental in describing many body systems - not only in natural sciences. However, in experiments, correlations are notoriously difficult to assess on the microscopic scale, especially for electron spins. Here, we demonstrate a direct measurement of the spin cross-correlations between the currents of a Cooper pair splitter, an electronic device that emits electrons originating from Cooper pairs in a superconductor. While it is firmly established theoretically that these electron pairs form maximally spin-entangled singlet states with opposite spin projections, no spin correlation experiments have been demonstrated so far. We use ferromagnetic sidegates, compatible with superconducting electronic structures, to individually spin polarize the transmissions of two quantum dots fabricated 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, compatible with spin singlet emission, and deviates from the ideal value mostly due to a finite overlap of the Zeeman split quantum dot states. Our results demonstrate a new route to perform spin auto- and cross correlation experiments in nanometer scaled electronic devices, especially suitable for those relying on magnetic field sensitive superconducting elements, like unconventional, triplet or topologically non-trivial superconductors, or to perform Bell tests with massive particles, like electrons.