The Einstein-Podolsky-Rosen (EPR) paradox is one of the earliest paradoxes, arising from the lack of local realistic description of mechanics. The EPR paradox leads to the important concept of quantum which manifests itself by three different phenomena: entanglement, steering, and Bell's nonlocality. Two well-known paradoxes related to Bell's nonlocality, i.e. the Greenberger-Horne-Zeilinger paradox and the Hardy paradox, have been widely studied and also experimentally confirmed. However, an experimental test of the EPR paradox is still lacking. The EPR paradox is essentially a steering paradox, and recently it has been mathematically formulated as a contradiction equality
k=1, thus making it amenable to an experimental verification. Moreover, based on the EPR paradox we also derive a generalized linear steering inequality. In this work, we perform the first experimental test of the EPR paradox in a two-qubit scenario, and also verify the corresponding generalized steering inequality, which has an advantage over the usual one by detecting more steerability of states. Experimental results confirm the theoretical predictions within the experimental errors, and provide a deeper understanding of foundation.