We describe how to generate an Einstein-Podolsky-Rosen (EPR) paradox between a mesoscopic mechanical oscillator and an optical pulse. We find two types of paradox, defined by whether it is the oscillator or the pulse that shows the effect Schr\"odinger called ``steering''. Only the oscillator paradox addresses the question of mesoscopic local reality for a massive system. In that case, EPR's ``elements of reality'' are defined for the oscillator, and it is these elements of reality that are falsified (if quantum mechanics is complete). For this sort of paradox, we show that a thermal barrier exists, meaning that a threshold level of pulse-oscillator interaction is required for a given thermal occupation
n0 of the oscillator. We find there is no equivalent thermal barrier for the entanglement of the pulse with the oscillator or for the EPR paradox that addresses the local reality of the optical system. Finally, we examine the possibility of an EPR paradox between two entangled oscillators. Our work highlights the asymmetrical effect of thermal noise on quantum nonlocality.