We report the first experimental observation of nonlinear self-trapping of Bose-condensed 87Rb atoms in a one-dimensional waveguide with a superimposed deep periodic potential . The trapping effect is confirmed directly by imaging the atomic spatial distribution. Increasing the nonlinearity we move the system from the diffusive regime, characterized by an expansion of the condensate, to the nonlinearity dominated self-trapping regime, where the initial expansion stops and the width remains finite. The data are in quantitative agreement with the solutions of the corresponding discrete nonlinear equation. Our results reveal that the effect of nonlinear self-trapping is of local nature, and is closely related to the macroscopic self-trapping phenomenon already predicted for double-well systems.