We demonstrate quantum walks of a photon pair in a spatially extended Einstein-Podolsky-Rosen state coupled into an on-chip multiport photonic lattice. By varying the degree of entanglement we observe Anderson localization for pairs in a separable state and Anderson colocalization for pairs in an Einstein-Podolsky-Rosen entangled state. In the former case, each photon localizes independently, while in the latter neither photon localizes, but the pair colocalizes—revealing unexpected survival of the spatial correlations through strong disorder.