We report on the observation of a finite spin splitting at zero magnetic field in resonant tunneling experiments on CdSe self-assembled quantum dots in a (Zn,Be,Mn)Se barrier. This is remarkable since bulk II-VI dilute magnetic semiconductors are paramagnets. Our experiment may be viewed as tunneling through a single magnetic polaron, where the carriers contained inside the dot act to mediate an effective ferromagnetic interaction between Mn ions in their vicinity. The effect is observable up to relatively high temperatures, which we tentatively ascribe to a feedback mechanism with the electrical current, previously predicted theoretically.