Einstein-Podolsky-Rosen (EPR) steering is a type of characteristic nonlocal correlation and provides an important resource in quantum information tasks, especially in view of its asymmetric property. Although plenty of works on EPR steering have been reported, the study of non-Markovian evolution of EPR steering, in which the interactions between the quantum system and surrounding environment are taken into consideration, still lacks intuitive experimental evidence. Here, we experimentally observe the non-Markovian evolution of EPR steering including its sudden death and revival processes, during which the degree of memory effect plays a key role in the recovery of steering. Additionally, a strict unsteerable feature is sufficiently verified during the non-Markovian evolution within multisetting measurements. This Letter, revealing the whole evolution of EPR steering under the non-Markovian process, provides incisive insight into the applications of EPR steering in quantum open systems.