We searched for X-ray bursts in XMM-Newton archival data of X-ray sources in M 31 globular clusters (GCs) and GC candidates. We detected two bursts simultaneously in EPIC pn and MOS detectors and some more candidates in EPIC pn. The energy distribution of the burst photons and the intrinsic luminosity during the peak of the bursts indicate that at least the strongest burst was a type I radius expansion burst. The bursts identify the sources as neutron star low mass X-ray binaries in M 31. The type I X-ray bursts in M 31 are the first detected outside the Milky Way and show that with the help of XMM-Newton X-ray bursts can be used to classify neutron star low mass X-ray binaries in Local Group galaxies.