Particle-wave duality enables the construction of interferometers for matter waves, which complement optical interferometers in precision measurement devices. This requires the development of atom-optics analogues to beam splitters, phase shifters and recombiners. Integrating these elements into a single device has been a long-standing goal. Here we demonstrate a full Mach-Zehnder sequence with trapped Bose-Einstein condensates confined on an atom chip. Particle interactions in our Bose-Einstein condensate matter waves lead to a nonlinearity, absent in photon optics. We exploit it to generate a non-classical state having reduced number fluctuations inside the interferometer. Making use of spatially separated wave packets, a controlled phase shift is applied and read out by a non-adiabatic matter-wave recombiner. We demonstrate coherence times a factor of three beyond what is expected for coherent states, highlighting the potential of entanglement as a resource for metrology. Our results pave the way for integrated quantum-enhanced matter-wave sensors.