Controlling the coupling between localized spins and itinerant electrons can lead to exotic magnetic states. A novel system featuring local magnetic moments and extended 2D electrons is the interface between LaAlO3 and SrTiO3. The magnetism of the interface, however, was observed to be insensitive to the presence of these electrons and is believed to arise solely from extrinsic sources like oxygen vacancies and strain. Here we show the existence of unconventional electronic phases in the LaAlO3/SrTiO3 system pointing to an underlying tunable coupling between itinerant electrons and localized moments. Using anisotropic magnetoresistance and anomalous Hall effect measurements in a unique in-plane configuration, we identify two distinct phases in the space of carrier density and magnetic field. At high densities and fields, the electronic system is strongly polarized and shows a response, which is highly anisotropic along the crystalline directions. Surprisingly, below a density-dependent critical field, the polarization and anisotropy vanish whereas the resistivity sharply rises. The unprecedented vanishing of the easy axes below a critical field is in sharp contrast with other coupled magnetic systems and indicates strong coupling with the moments that depends on the symmetry of the itinerant electrons. The observed interplay between the two phases indicates the nature of magnetism at the LaAlO3/SrTiO3 interface as both having an intrinsic origin and being tunable.