The nature of dynamo action in shear flows prone to magnetohydrodynamc instabilities is investigated using the magnetorotational dynamo in Keplerian shear flow as a prototype problem. Using direct numerical simulations and Newton's method, we compute an exact time-periodic magnetorotational dynamo solution to three-dimensional dissipative incompressible magnetohydrodynamic equations with rotation and shear. We discuss the physical mechanism behind the cycle and show that it results from a combination of linear and nonlinear interactions between a large-scale axisymmetric toroidal magnetic field and nonaxisymmetric perturbations amplified by the magnetorotational instability. We demonstrate that this large-scale dynamo mechanism is overall intrinsically nonlinear and not reducible to the standard mean-field dynamo formalism. Our results therefore provide clear evidence for a generic nonlinear generation mechanism of time-dependent coherent large-scale magnetic fields in shear flows and call for new theoretical dynamo models. These findings may offer important clues to understanding the transitional and statistical properties of subcritical magnetorotational turbulence.