Spin-orbit (SO) coupling -- the interaction between a quantum particle's spin and its momentum -- is ubiquitous in nature, from atoms to solids. In condensed matter systems, SO coupling is crucial for the spin-Hall effect and topological insulators, which are of extensive interest; it contributes to the electronic properties of materials such as GaAs, and is important for spintronic devices. Ultracold atoms, quantum many-body systems under precise experimental control, would seem to be an ideal platform to study these fascinating SO coupled systems. While an atom's intrinsic SO coupling affects its electronic structure, it does not lead to coupling between the spin and the center-of-mass motion of the atom. Here, we engineer SO coupling (with equal Rashba and Dresselhaus strengths) in a neutral atomic Bose-Einstein condensate by dressing two atomic spin states with a pair of lasers. Not only is this the first SO coupling realized in ultracold atomic gases, it is also the first ever for bosons. Furthermore, in the presence of the laser coupling, the interactions between the two dressed atomic spin states are modified, driving a quantum phase transition from a spatially spin-mixed state (lasers off) to a phase separated state (above a critical laser intensity). The location of this transition is in quantitative agreement with our theory. This SO coupling -- equally applicable for bosons and fermions -- sets the stage to realize topological insulators in fermionic neutral atom systems.