Einstein-Podolsky-Rosen steering is a form of inseparability in quantum theory commonly acknowledged to be intermediate between entanglement and Bell nonlocality. However, this statement has so far only been proven for a restricted class of measurements, namely, projective measurements. Here we prove that entanglement, one-way steering, two-way steering, and nonlocality are genuinely different considering general measurements, i.e., single round positive-operator-valued measures. Finally, we show that the use of sequences of measurements is relevant for steering tests, as they can be used to reveal “hidden steering.”