Exceptional points (EPs) in non-Hermitian systems have recently attracted wide interest and spawned intriguing prospects for enhanced sensing. However, EPs have not yet been realized in thermal atomic ensembles, which is one of the most important platforms for quantum sensing. Here we experimentally observe EPs in multilevel thermal atomic ensembles and realize enhanced sensing of the magnetic field for 1 order of magnitude. We take advantage of the rich energy levels of atoms and construct effective decays for selected energy levels by employing laser coupling with the excited state, yielding unbalanced decay rates for different energy levels, which finally results in the existence of EPs. Furthermore, we propose the optical polarization rotation measurement scheme to detect the splitting of the resonance peaks, which makes use of both the absorption and dispersion properties and shows an advantage with enhanced splitting compared with the conventional transmission measurement scheme. Additionally, in our system both the effective coupling strength and decay rates are flexibly adjustable, and thus the position of the EPs are tunable, which expands the measurement range. Our Letter not only provides a new controllable platform for studying EPs and non-Hermitian physics, but also provide new ideas for the design of EP-enhanced sensors and opens up realistic opportunities for practical applications in the high-precision sensing of magnetic field and other physical quantities.