High-dimensional quantum entanglement can give rise to stronger forms of nonlocal correlations compared to qubit systems. Beyond being of fundamental interest, this offers significant advantages for quantum information processing. The problem of certifying these stronger correlations, however, remains an important challenge, in particular in an experimental setting. Here we theoretically formalise and experimentally demonstrate a notion of genuine high-dimensional quantum nonlocal steering. We show that high-dimensional entanglement combined with judiciously chosen local measurements can lead to a stronger form of steering, provably impossible to obtain via entanglement in lower dimensions. Exploiting the connection between steering and incompatibility of quantum measurements, we derive simple two-setting steering inequalities for certifying the presence of genuine high-dimensional steering. We report the experimental violation of these inequalities using macro-pixel photon-pair entanglement certifying genuine high-dimensional steering in dimensions up to d=15. Our work paves the way for the characterisation and certification of quantum nonlocal correlations in high-dimensional systems.