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Bound states of massive particles, such as nuclei, atoms, or molecules, constitute the bulk of the visible world around us. By contrast, photons typically only interact weakly. We report the observation of traveling three-photon bound states in a quantum nonlinear medium where the interactions between photons are mediated by atomic Rydberg states. Photon correlation and conditional phase measurements reveal the distinct bunching and phase features associated with three-photon and two-photon bound states. Such photonic trimers and dimers possess shape-preserving wave functions that depend on the constituent photon number. The observed bunching and strongly nonlinear optical phase are described by an effective field theory of Rydberg-induced photon-photon interactions. These observations demonstrate the ability to realize and control strongly interacting quantum many-body states of light.