We have performed spin-resolved measurements on a Kondo impurity in the presence of RKKY-type exchange coupling. By placing manganese phthalocyanine (MnPc) molecules on Fe-supported Pb islands, a Kondo system is devised which is exchange coupled to a magnetic substrate via conduction electrons in Pb, inducing spin splitting of the Kondo resonance. The spin-polarized nature of the split Kondo resonance and a spin filter effect induced by spin-flip inelastic electron tunneling are revealed by spin-polarized scanning tunneling microscopy and spectroscopy.