The general theory of relativity predicts that a star passing close to a supermassive black hole should exhibit a relativistic redshift. In this study, we used observations of the Galactic Center star S0-2 to test this prediction. We combined existing spectroscopic and astrometric measurements from 1995-2017, which cover S0-2's 16-year orbit, with measurements from March to September 2018, which cover three events during S0-2's closest approach to the black hole. We detected a combination of special relativistic and gravitational redshift, quantified using the redshift parameter gamma. Our result, gamma = 0.88 +/- 0.17, is consistent with general relativity (gamma = 1) and excludes a Newtonian model (gamma = 0) with a statistical significance of 5 sigma.