Majorana fermion (MF) whose antiparticle is itself has been predicted in condensed matter systems. Signatures of the MFs have been reported as zero energy modes in various systems. More definitive evidences are highly desired to verify the existence of the MF. Very recently, theory has predicted MFs to induce spin selective Andreev reflection (SSAR), a novel magnetic property which can be used to detect the MFs. Here we report the first observation of the SSAR from MFs inside vortices in Bi2Te3/NbSe2 hetero-structure, in which topological superconductivity was previously established. By using spin-polarized scanning tunneling microscopy/spectroscopy (STM/STS), we show that the zero-bias peak of the tunneling differential conductance at the vortex center is substantially higher when the tip polarization and the external magnetic field are parallel than anti-parallel to each other. Such strong spin dependence of the tunneling is absent away from the vortex center, or in a conventional superconductor. The observed spin dependent tunneling effect is a direct evidence for the SSAR from MFs, fully consistent with theoretical analyses. Our work provides definitive evidences of MFs and will stimulate the MFs research on their novel physical properties, hence a step towards their statistics and application in quantum computing.