More than eighty years ago, H. Bethe pointed out the existence of bound states of elementary spin waves in one-dimensional quantum magnets. To date, identifying signatures of such magnon bound states has remained a subject of intense theoretical research while their detection has proved challenging for experiments. Ultracold atoms offer an ideal setting to reveal such bound states by tracking the spin dynamics after a local quantum quench with single-spin and single-site resolution. Here we report on the direct observation of two-magnon bound states using in-situ correlation measurements in a one-dimensional Heisenberg spin chain realized with ultracold bosonic atoms in an optical lattice. We observe the quantum walk of free and bound magnon states through time-resolved measurements of the two spin impurities. The increased effective mass of the compound magnon state results in slower spin dynamics as compared to single magnon excitations. In our measurements, we also determine the decay time of bound magnons, which is most likely limited by scattering on thermal fluctuations in the system. Our results open a new pathway for studying fundamental properties of quantum magnets and, more generally, properties of interacting impurities in quantum many-body systems.