We describe the experimental generation and measurement of coherent light that carries orbital angular momentum from a relativistic electron beam radiating at the second harmonic of a helical undulator. The measured helical phase of the light is shown to be in agreement with predictions of the sign and magnitude of the phase singularity and is more than 2 orders of magnitude greater than the incoherent signal. Our setup demonstrates that such optical vortices can be produced in modern free-electron lasers in a simple afterburner arrangement for novel two-mode pump-probe experiments.