Symmetry plays a crucial role in explorations of the laws of nature. Parity-time (PT) symmetry phenomena can lead to entirely real spectra in non-Hermitian systems, which attracts considerable attention in the fields of optics and electronics because these phenomena provide a new tool for the manipulation of oscillation modes and non-reciprocal signal transmission. A potential new field of application is microwave photonics, an interdisciplinary field in which the interaction between microwaves and optical signals is exploited. In this article, we report the experimental use of PT symmetry in an optoelectronic oscillator (OEO), a key microwave photonics system that can generate single-frequency sinusoidal signals with high spectral purity. PT symmetry is theoretically analyzed and experimentally observed in an OEO with two mutually coupled active oscillation cavities via a precise manipulation of the interplay between gain and loss in the two oscillation cavities. Stable single-frequency microwave oscillation is achieved without using any optical/electrical filters for oscillation mode selection, which is an indispensable requirement in traditional OEOs. This observation opens new avenues for signal generation and processing based on the PT symmetry principle in microwave photonics.