We consider two systems A and B that share Einstein-Podolsky-Rosen (EPR) steering correlations and study how these correlations will decay, when each of the systems are independently coupled to a reservoir. EPR steering is a directional form of entanglement, and the measure of steering can change depending on whether the system A is steered by B, or vice versa. First, we examine the decay of the steering correlations of the two-mode squeezed state. We find that if the system B is coupled to a reservoir, then the decoherence of the steering of A by B is particularly marked, to the extent that there is a sudden death of steering after a finite time. We find a different directional effect, if the reservoirs are thermally excited. Second, we study the decoherence of the steering of a Schrodinger cat state, modelled as the entangled state of a spin and harmonic oscillator, when the macroscopic system (the cat) is coupled to a reservoir.