We examine the quantum correlation between the Mollow sidebands in the collective resonance fluorescence from a strongly driven ensemble of two-level atoms. By using the criterion proposed by Shchukin and Vogel, we show that non-Gaussian entanglement exists between the two separated sidebands. The responsible mechanism is traced to the spontaneous parametric process, in which the nonclassical correlation is established. This suggests that the collective resonance fluorescence provides a continuous source for the non-Gaussian entangled light and thus has great potentials for various applications in quantum information and quantum computation.