Lee-Yang zeros are points on the complex plane of physical parameters where the partition function of a system vanishes and hence the free energy diverges. Lee-Yang zeros are ubiquitous in many-body systems and fully characterize their thermodynamics. Notwithstanding their fundamental importance, Lee-Yang zeros have never been observed in experiments, due to the intrinsic difficulty that they would occur only at complex values of physical parameters, which are generally regarded as unphysical. Here we report the first observation of Lee-Yang zeros, by measuring quantum coherence of a probe spin coupled to an Ising-type spin bath. The quantum evolution of the probe spin introduces a complex phase factor and therefore effectively realizes an imaginary magnetic field. From the measured Lee-Yang zeros, we reconstructed the free energy of the spin bath and determined its phase transition temperature. This experiment opens up new opportunities of studying thermodynamics in the complex plane.