We have carried out an experimental and theoretical study of non-local electron scattering in magnetic multilayers by measuring the magnetoresistance MR(H) in the CPP (current-perpendicular-to-plane) mode for two samples consisting of different magnetic layers (M1, M2) separated by non-magnetic layers (NM). For the two samples, the ordering of the layers was as follows: [M1/NM/M2/NM](N) and [M1/NM](N)[M2/NM](N). If the non-local character of the electron scattering were unimportant, the two samples would yield identical curves for MR(H) in the CPP mode. However, our measured MR(H) curves are completely different for the two samples. This demonstrates the importance of non-local electron scattering. For our measurements, M1 = Fe(50 Angstrom), M2 = Co(20 Angstrom), NM = Cu(200 Angstrom) for Fe-Co samples, and M1 = Co(10 Angstrom), M2 = Co(60 Angstrom), NM = Cu(200 Angstrom), for the Co-Co samples. To confirm our ideas, we calculated MR(H), including the effect of non-local electron scattering, and obtained quantitative agreement with experiment.