It has been known for decades that the observed number of baryons in the local Universe falls about 30-40 per cent short1,2 of the total number of baryons predicted 3 by Big Bang nucleosynthesis, as inferred4,5 from density fluctuations of the cosmic microwave background and seen during the first 2-3 billion years of the Universe in the so-called 'Lyman α forest'6,7 (a dense series of intervening H I Lyman α absorption lines in the optical spectra of background quasars). A theoretical solution to this paradox locates the missing baryons in the hot and tenuous filamentary gas between galaxies, known as the warm-hot intergalactic medium. However, it is difficult to detect them there because the largest by far constituent of this gas-hydrogen-is mostly ionized and therefore almost invisible in far-ultraviolet spectra with typical signal-to-noise ratios8,9. Indeed, despite large observational efforts, only a few marginal claims of detection have been made so far2,10. Here we report observations of two absorbers of highly ionized oxygen (O VII) in the high-signal-to-noise-ratio X-ray spectrum of a quasar at a redshift higher than 0.4. These absorbers show no variability over a two-year timescale and have no associated cold absorption, making the assumption that they originate from the quasar's intrinsic outflow or the host galaxy's interstellar medium implausible. The O VII systems lie in regions characterized by large (four times larger than average 11 ) galaxy overdensities and their number (down to the sensitivity threshold of our data) agrees well with numerical simulation predictions for the long-sought warm-hot intergalactic medium. We conclude that the missing baryons have been found.