The unconventional superconductivity in the newly discovered iron-based superconductors is intimately related to its multi-band/multi-orbital nature. Here we report the comprehensive orbital characters of the low-energy three-dimensional electronic structure in BaFe$_{1.85}$Co$_{0.15}$As$_2$ by studying the polarization and photon energy dependence of angle-resolved photoemission data. While the distributions of the $d_{xz}$, $d_{yz}$, and $d_{3z^2-r^2}$ orbitals agree with the prediction of density functional theory, those of the $d_{xy}$ and $d_{x^2-y^2}$ orbitals show remarkable disagreement with theory. Our results point out the inadequacy of the existing band structure calculations, and more importantly, provide a foundation for constructing the correct microscopic model of iron pnictides.