The easiest way to think of it is as follows: When you entangle the particles they have opposite states, and each has their state hidden in a box. When you open one box, you know what the state of the other particle must be.

Only there is no box, and the state isn't well defined until you measure it.

Or there is no box, and the state isn't well defined for anything that hasn't interacted with the particles, but upon interacting whatever did the interaction becomes entangled too and sees the defined state of the particles but the rest of the universe wouldn't know the state of whatever did the interacting.

Or there is a box, but it's the size of the whole universe, and every time anything interacts with it (looks inside the box) the box splits up into all the possible things that could have been seen by that interaction and you get lots of universes.

Or a number of other ways to think about the issue depending on your preferred interpretation of quantum mechanics, but no matter how you look at it it's nothing like a normal box.