We perform a quantitative study of the neutron and electron electric dipole moments (EDM) in Supersymmetry, in the limit of heavy scalars. The leading contributions arise at two loops. We give the complete analytic result, including a new contribution associated with Z-Higgs exchange, which plays an important and often leading role in the neutron EDM. The predictions for the EDM are typically within the sensitivities of the next generation experiments. We also analyse the correlation between the electron and neutron EDM, which provides a robust test of Split Supersymmetry.