By means of the magnetocaloric effect, we examine the nature of the superconducting-normal (S-N) transition of Sr(2)RuO(4), a most promising candidate for a spin-triplet superconductor. We provide thermodynamic evidence that the S-N transition of this oxide is of first order below approximately 0.8 K and only for magnetic field directions very close to the conducting plane, in clear contrast to the ordinary type-II superconductors exhibiting second-order S-N transitions. The entropy release across the transition at 0.2 K is 10% of the normal-state entropy. Our result urges an introduction of a new mechanism to break superconductivity by magnetic field.