The superconducting phase transition in heavy fermion CeCoIn5 (T(c)=2.3 K in zero field) becomes first order when the magnetic field H parallel [001] is greater than 4.7 T, and the transition temperature is below T0 approximately 0.31T(c). The change from second order at lower fields is reflected in strong sharpening of both specific heat and thermal expansion anomalies associated with the phase transition, a strong magnetocaloric effect, and a steplike change in the sample volume. This effect is due to Pauli limiting in a type-II superconductor, and was predicted theoretically in the mid-1960s.