The electrons forming a Cooper pair in a superconductor can be spatially separated preserving their spin entanglement by means of quantum dots coupled to both the superconductor and independent normal leads. We investigate the thermoelectric properties of such a Cooper pair splitter and demonstrate that cooling of a reservoir is an indication of non-local correlations induced by the entangled electron pairs. Moreover, we show that the device can be operated as a non-local thermoelectric heat engine. Both as a refrigerator and as a heat engine, the Cooper pair splitter reaches efficiencies close to the thermodynamic bounds. As such, our work introduces an experimentally accessible heat engine and a refrigerator driven by entangled electron pairs in which the role of quantum correlations can be tested.Introduction.-Hybrid nanostructures with superconducting or normal electrodes connected by quantum wires provide a unique playground to test the interplay between transport and electron correlations 1 . Among these types of devices, Cooper pair splitters have received special attention due to their potential use as a source of non-locally entangled electron pairs 2-4 . A typical device consists of a central superconducting lead coupled to two normal ones through quantum dots, a geometry which has been successfully implemented using semiconducting nanowires 5-8 , carbon nanotubes 9,10 or graphene 11 . In this setup the Coulomb repulsion in the quantum dots forces the incoming electron pairs from the superconductor to separate into different normal electrodes, while local Andreev processes in which the two electrons from the pair are transferred to the same normal lead are strongly suppressed 2 . The Cooper pair splitting (CPS) process can be viewed as the time reverse of a crossed Andreev reflection in which an incoming electron from a given normal lead is reflected as a hole in the opposite lead 12,13 . Positive correlation between the currents through the two normal contacts has been presented as a signature of the splitting process 5,9,10 .