The divine essence is both immanent and transcendent. Is this a paradox? There is a way to gain insights into this apparent paradox. Mental clarity can be found by considering the special relativity of consciousness.
What is generally understood by the term “immanence” in the Western philosophy is the presence of the divine essence within each entity.
In Sanskrit, the divine essence is called Purusha (Consciousness). Purusha exists in two states: unqualified (nirguna) and qualified (saguna) states. Purusha allows itself to be qualified by its immanent creative principle Prakrti but Purusha’s infinite potential cannot be delimited. This is the fundamental paradox. As soon as the qualification (binding, constriction, confinement) takes place the infinite potential objectivates (emanates) as a reaction. In this way, mental and physical realms come into existence. Emanation is a reaction to confinement. The Qualified Consciousness has a center, a nucleus which can be called Cosmic Center (Purushottama). Purusha also reacts to confinement by creating an infinite number of reflections of the Cosmic Center. These reflections are the unit souls. Each unit consciousness (soul) tries to escape Prakrti’s binding by becoming an actor in the Cosmic Play. Qualified Consciousness is the “relative truth” and Unqualified Consciousness is the “absolute truth”. Matter must have emanated from the mental realm (Cosmic Mind). Matter is not an illusion, matter is a relative truth. When matter reaches the critical organizational complexity the unit mind appears. The unit mind emerges from matter but matter was mind in the first place and mind was pure consciousness in a prior stage. Therefore, the unit consciousness lying dormant in each entity from electrons, to galaxies, from viruses to human beings, unfolds in stages and liberates itself from confinement.
One of the names for the Divine Center (Cosmic Center, Purushottama, Atman, God) in Sanskrit is Parama Purusha which can be translated as Cosmic Consciousness to English. This was Shrii Shrii Anandamurti’s favorite term to refer to God. Parama Purusha witnesses, substantiates and controls the entire Cosmos (the totality of multiple physical universes, mental, and spiritual realms) which is everything that exists. Parama Purusha knows our innermost feelings, and thoughts. He is the soul of our soul. He is the supreme subjectivity. This is the first key to the resolution of the immanence/transcendence paradox.
In the process of emanation/creation the singular Parama Purusha is reflected in uncountable number of unit souls (unit consciousnesses). The “immanence” is due to this reflection. The reflection/replication of Cosmic Consciousness as unit consciousnesses forms the basis of the “immanence”.
The concealment or constriction of consciousness creates life. This is the second key to the resolution of the immanence/transcendence paradox. Parama Purusha is transcendent to any living entity because He is the soul of our soul, He is the supreme subjectivity. He is the witness (creator, substantiator) of the unit consciousnesses. The unit consciousness itself is a reflection of the same Parama Purusha. He is immanent because our soul is a reflection of Him. He is also transcendent because He is the soul of our soul.
When you look at the mirror you see yourself. You know that it is a reflection. Now imagine a fantastic scenario where the image on the mirror becomes self-aware. When the image on the mirror becomes self-aware it will only perceive the very limited universe of the reflective surface. The self-aware image will think of you as transcendent. After more development the self-aware image may come to the conclusion that it owes its existence and life to you because it is your image. Then the self-aware image will realize that you are immanent in the reflective surface. Therefore, according to the self-aware image you are both transcendent and immanent. Now replace the word “you” with “Parama Purusha” and “self-aware image” with human soul (unit consciousness).
Parama Purusha in His immanence knows our innermost feelings and thoughts. He is connected to all entities because all entities have a reflection (“reference”) of Him at the core. He is immanent in the Cosmos but He is also transcendent because He is the Cosmic Nucleus that “reference” to the infinite potential from which the Cosmos emanates. The “reference” (Cosmic Nucleus) is unmoving and unchanging but it is “becoming”. The word “becoming” is different from “changing” or “moving”. The word “becoming” is synonymous with “objectivation” or “emanation”. The infinite potential is turning into life. For this to happen the Cosmic Nucleus (“reference”) needs to stay unmovable and unchanging. The nucleus is not moving or changing. Emanation (Cosmos) continues as long as the nucleus exists. Cosmos does not dissipate the nucleus. Nucleus is the reference, the reference to the Absolute which is the indescribable ocean of love and bliss.
The words such as “unchangeable”, “immutable” are totally inadequate to describe the Absolute. Therefore the word Satya is used just as a placeholder. Cosmic Consciousness (both as the nucleus and as the Absolute referred to by the Cosmic Consciousness) is Satya. The reflections of the Cosmic Consciousness as individual souls are Satya as well. The objectivation of the individual soul is life. During objectivation of the soul the various layers of the mind come into being. The lower levels of the mind experience sorrow and happiness and go through many physical lives. The physical lives and the layers of the mind are changing and moving but the originator of the lives, the nucleus, the center, the witness, the soul (atman, unit consciousness) is not changing. The same argument applies to the Cosmic Center and the cosmic life.
Earlier we mentioned that the concealment or constriction of consciousness creates life. The concealment which manifests as the mind makes the Cosmic Consciousness transencendent. The individual mind thinks Cosmic Consciousness is transcendent. The reflection of the Cosmic Consciousness, however, is immanent. The reflection of the Cosmic Consciousness is inside the mind which conceals the reflection. This is why the Cosmic Consciousness is both transcendent and immanent.
Shrii Shrii Anandamurti explains the same fact in a concise manner and provides much more information (please see the footnotes at the for some of the terms that was not explained in the text):
“According to the Vedas the Supreme Entity (Parama Brahma) is giving expression to this created universe with the help of His immanent principle, His divine Maya. Shiva, latent in the microcosm, is creating a world of imagination in collaboration with Prakrti. Similarly, the Supreme Entity, in collaboration with His immanent power, continues the cosmic flow of creation, the Macrocosmic conation, from which all microcosmic entities emerge. As microcosms are born out of the influence of Maya they are subject to Her spell as long they remain in the microcosmic stance. But the Supreme Entity, the Supreme Witness, is beyond the influence of Maya for He is the Lord of Maya. Had He been under Her influence, the secret of salvation from Maya would have eluded Him.
The Maya who continues this cosmic imagination for the exhaustion of Saguna Brahma’s samskaras is subservient to the Supreme Cognitive Faculty of Parama Purusha because He is ensconced in the highest state of awareness. The Cosmic Imagination starts as a reactive expression from that supreme state.
Maya and Prakrti are almost synonymous. The etymological meaning of Prakrti is the “entity who is creating diversities in the infinite cosmic body”. Usually, when the sentient, mutative, and static principles remain in a state of balance, it is called Prakrti, and when balance is lost, due to the dominance of the sentient principle, it is called, Vidyamaya. But when the balance is lost due to the predominance of the static principle it is called Avidyamaya. So the rshi says, “In reality Maya and Prakrti are almost the same. The entity who remains beyond their influence is the Supreme Controller.” Both the concept of Purusha and Prakrti are very subtle, too subtle for you to understand with the indriyas. But when (as a result of the combined association of Purusha and Prakrti) their existence comes down to the psychic level due to the crudifying influence of Prakrti, then your intellect, your subtle power of perception, can perceive their existence. The subtler the object, the less capacity the indriyas have of perceiving it. A subtle mind can only fathom a subtle object like the mind, but nothing subtler.
The crudest manifestation of the Cosmic Mind is the quinquelemental universe. Hence the rshi says, “This vast quinquelemental universe is His physical body”. His subtle and causal body and His stance as Purushottama are beyond the scope of perception of the indriyas. Microcosms can never fathom the extreme subtlety of these states of cosmic existence. To bring the vast cosmic body within the scope of perception is beyond the microcosmic capacity.” 
 Shrii Shrii Anandamurti, “The Expansion of Microcosm”, (1957) Subháśita Saḿgraha Part 5
Notes (unexplained terms in the quotation):
Rshi : sages who originated the Vedas
Parama Brahma: Brahma is a philosophical term to refer to the totality of unqualified (nirguna) and qualified (saguna) aspects of the Purusha the absolute reality.
Shiva: another name for Cosmic Center (Atman) or Cosmic Consciousness.