We report on the detection of a third massive star component in the σ Orionis AB system, traditionally considered as a binary system. The system has been monitored by the IACOB Spectroscopic Survey of Northern Massive Stars program, obtaining 23 high-resolution FIES@NOT spectra with a time span of ~2.5 years. The analysis of the radial velocity curves of the two spectroscopic components observed in the spectra has allowed us to obtain the orbital parameters of the system, resulting in a high eccentric orbit (e ~ 0.78) with an orbital period of 143.5 ± 0.5 days. This result implies the actual presence of three stars in the σ Orionis AB system when combined with previous results obtained from the study of the astrometric orbit (with an estimated period of ~157 years). Based on observations made with the Nordic Optical Telescope, operated on the island of La Palma jointly by Denmark, Finland, Iceland, Norway, and Sweden, in the Spanish Observatorio del Roque de los Muchachos of the Instituto de Astrofisica de Canarias.