We analytically and numerically show that the Hillery-Zubairy’s entanglement criterion is satisfied both below and above the threshold of coupled non-degenerate optical parametric oscillators (NOPOs) with strong nonlinear gain saturation and dissipative linear coupling. We investigated two cases: for large pump mode dissipation, below-threshold entanglement is possible only when the parametric interaction has an enough detuning among the signal, idler, and pump photon modes. On the other hand, for a large dissipative coupling, below-threshold entanglement is possible even when there is no detuning in the parametric interaction. In both cases, a non-Gaussian state entanglement criterion is satisfied even at the threshold. Recent progress in nano-photonic devices might make it possible to experimentally demonstrate this phase transition in a coherent XY machine with quantum correlations.