In the CP-violating Minimal Supersymmetric Standard Model, we study the production of a neutralino-chargino pair at the LHC. For their decays into three leptons, we analyze CP asymmetries which are sensitive to the CP phases of the neutralino and chargino sector. We present analytical formulas for the entire production and decay process, and identify the CP-violating contributions in the spin correlation terms. This allows us to define the optimal CP asymmetries. We present a detailed numerical analysis of the cross sections, branching ratios, and the CP observables. For light neutralinos, charginos, and squarks, the asymmetries can reach several 10%. We estimate the discovery potential for the LHC to observe CP violation in the trilepton channel.