Chiral nematic liquid crystals sometimes form blue phases characterized by spirals twisting in different directions. By combining model calculations with neutron-scattering experiments, we show that the magnetic analogue of blue phases does form in the chiral itinerant magnet MnSi in a large part of the phase diagram. The properties of this blue phase explain a number of previously reported puzzling features of MnSi such as partial magnetic order and a two-component specific-heat and thermal-expansion anomaly at the magnetic transition.