Measurements of the relaxation of a zonal electrostatic potential perturbation in a nonaxisymmetric magnetically confined plasma are presented. A sudden perturbation of the plasma equilibrium is induced by the injection of a cryogenic hydrogen pellet in the TJ-II stellarator, which is observed to be followed by a damped oscillation in the electrostatic potential. The waveform of the relaxation is consistent with theoretical calculations of zonal potential relaxation in a nonaxisymmetric magnetic geometry. The turbulent transport properties of a magnetic confinement configuration are expected to depend on the features of the collisionless damping of zonal flows, of which the present Letter is the first direct observation.