The splitting of the Kondo resonance in the density of states of an Anderson impurity in a finite magnetic field is calculated from the exact Bethe-ansatz solution. The result gives an estimate of the electron spectral function for a nonzero magnetic field and the Kondo temperature, with consequences for transport experiments on quantum dots in the Kondo regime. The strong correlations of the Kondo ground state cause a significant low-temperature reduction of the peak splitting. Explicit formulas are found for the shift and broadening of the Kondo peaks. A likely cause of the problems of large- N approaches to spin- 1 / 2 impurities at finite magnetic field is suggested.