The linear magnetoelectric effect is an attractive phenomenon in condensed matters and provides indispensable technological functionalities. Here a colossal linear magnetoelectric effect with diagonal component α_{33} reaching up to ∼480 ps/m is reported in a polar magnet Fe_{2}Mo_{3}O_{8}. This effect can persist in a broad range of magnetic field (∼20 T) and is orders of magnitude larger than reported values in literature. Such an exceptional experimental observation can be well reproduced by a theoretical model affirmatively unveiling the vital contributions from the exchange striction, while the sign difference of magnetocrystalline anisotropy can also be reasonably figured out.