We report anisotropic magnetoresistance in Pt|Y(3)Fe(5)O(12) bilayers. In spite of Y(3)Fe(5)O(12) being a very good electrical insulator, the resistance of the Pt layer reflects its magnetization direction. The effect persists even when a Cu layer is inserted between Pt and Y(3)Fe(5)O(12), excluding the contribution of induced equilibrium magnetization at the interface. Instead, we show that the effect originates from concerted actions of the direct and inverse spin Hall effects and therefore call it "spin Hall magnetoresistance."