Thin films of ferromagnetic topological insulator materials can host the quantum anomalous Hall effect without the need for an external magnetic field. Inducing Cooper pairing in such a material is a promising way to realize topological superconductivity with the associated chiral Majorana edge states. However, finding evidence of the superconducting proximity effect in such a state has remained a considerable challenge due to inherent experimental difficulties. Here we demonstrate crossed Andreev reflection across a narrow superconducting Nb electrode that is in contact with the chiral edge state of a quantum anomalous Hall insulator. In the crossed Andreev reflection process, an electron injected from one terminal is reflected out as a hole at the other terminal to form a Cooper pair in the superconductor. This is a compelling signature of induced superconducting pair correlation in the chiral edge state. The characteristic length of the crossed Andreev reflection process is found to be much longer than the superconducting coherence length in Nb, which suggests that the crossed Andreev reflection is, indeed, mediated by superconductivity induced on the quantum anomalous Hall insulator surface. Our results will invite future studies of topological superconductivity and Majorana physics, as well as for the search for non-abelian zero modes.