The Einstein-Podolsky-Rosen (EPR) paradox is the earliest quantum paradox, which was motivated by the fundamental problem whether local realism can completely describe quantum mechanics. The EPR paradox has stimulated an important concept of "quantum nonlocality", which is classified into three distinct types: entanglement, quantum steering, and Bell's nonlocality. As two well-known quantum paradoxes for Bell's nonlocality, the Greenberger-Horne-Zeilinger paradox and the Hardy paradox have been well studied and also confirmed in experiments, however, the experimental test of the EPR paradox has not yet been reported. The EPR paradox is essentially a paradox for quantum steering. Very recently, the EPR paradox has been mathematically formulated to a contradiction equality "\(k=1\)", thus rendering its possibility to be directly observed in the experiment. In this work, we perform the first experimental test for the EPR paradox in a two-qubit scenario. Furthermore, by starting from the EPR paradox we can generate the generalized linear steering inequalities, which have an advantage over the usual ones by detecting more steerability of quantum states. Meanwhile, we also perform experiment to confirm this merit. Within the experimental errors, the experimental results coincide with the theoretical predictions. Our results deepen the understanding of quantum foundations.