We report the finding of an azimuthal dynamo wave of a low-order (m=1) mode in direct numerical simulations (DNS) of turbulent convection in spherical shells. Such waves are predicted by mean field dynamo theory and have been obtained previously in mean-field models. Observational results both from photometry and Doppler imaging have revealed persistent drifts of spots for several rapidly rotating stars, but, although an azimuthal dynamo wave has been proposed as a possible mechanism responsible for this behavior, it has been judged as unlikely, as practical evidence for such waves from DNS has been lacking. The large-scale magnetic field in our DNS, which is due to self-consistent dynamo action, is dominated by a retrograde m=1 mode. Its pattern speed is nearly independent of latitude and does not reflect the speed of the differential rotation at any depth. The extrema of magnetic m=1 structures coincide reasonably with the maxima of m=2 structures of the temperature. These results provide direct support for the observed drifts being due to an azimuthal dynamo wave.