We derive an exact (classical and quantum) expression for the entropy production of a finite system placed in contact with one or several finite reservoirs, each of which is initially described by a canonical equilibrium distribution. Although the total entropy of system plus reservoirs is conserved, we show that system entropy production is always positive and is a direct measure of system-reservoir correlations and/or entanglements. Using an exactly solvable quantum model, we illustrate our novel interpretation of the Second Law in a microscopically reversible finite-size setting, with strong coupling between the system and the reservoirs. With this model, we also explicitly show the approach of our exact formulation to the standard description of irreversibility in the limit of a large reservoir.