The nature of the pseudogap phase of cuprates remains a major puzzle. Although there are indications that this phase breaks various symmetries, there is no consensus on its fundamental nature. Although Fermi-surface, transport and thermodynamic signatures of the pseudogap phase are reminiscent of a transition into a phase with antiferromagnetic order, there is no evidence for an associated long-range magnetic order. Here we report measurements of the thermal Hall conductivity $kappa_{rm xy}$ in the normal state of four different cuprates (Nd-LSCO, Eu-LSCO, LSCO, and Bi2201) and show that a large negative $kappa_{rm xy}$ signal is a property of the pseudogap phase, appearing with the onset of that phase at the critical doping $p^*$. Since it is not due to charge carriers -- as it persists when the material becomes an insulator, at low doping -- or magnons -- as it exists in the absence of magnetic order -- or phonons -- since skew scattering is very weak, we attribute this $kappa_{rm xy}$ signal to exotic neutral excitations, presumably with spin chirality. The thermal Hall conductivity in the pseudogap phase of cuprates is reminiscent of that found in insulators with spin-liquid states. In the Mott insulator LCO, it attains the highest known magnitude of any insulator.