We use ultrafast optical spectroscopy to observe binding of charged single-particle excitations (SE) in the magnetically frustrated Mott insulator Na$_2$IrO$_3$. Above the antiferromagnetic ordering temperature ($T_N$) the system response is due to both Hubbard excitons (HE) and their constituent unpaired SE. The SE response becomes strongly suppressed immediately below $T_N$. We argue that this increase in binding energy is due to a unique interplay between the frustrated Kitaev and the weak Heisenberg-type ordering term in the Hamiltonian, mediating an effective interaction between the spin-singlet SE. This interaction grows with distance causing the SE to become trapped in the HE, similar to quark confinement inside hadrons. This binding of charged particles, induced by magnetic ordering, is a result of a confinement-deconfinement transition of spin excitations. This observation provides evidence for spin liquid type behavior which is expected in Na$_2$IrO$_3$.
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