In this Letter, we report the first experimental realization and investigation of a spin-orbit coupled Fermi gas. Both spin dephasing in spin dynamics and momentum distribution asymmetry of the equilibrium state are observed as hallmarks of spin-orbit coupling in a Fermi gas. The single particle dispersion is mapped out by using momentum-resolved radio-frequency spectroscopy. From momentum distribution and momentum-resolved radio-frequency spectroscopy, we observe the change of fermion population in different helicity branches consistent with a finite temperature calculation, which indicates that a Lifshitz transition of the Fermi surface topology change can be found by further cooling the system.