Heavy fermion materials gain high electronic masses and expand Fermi surfaces when the high-temperature localized f electrons become itinerant and hybridize with the conduction band at low temperatures. However, despite the common application of this model, direct microscopic verification remains lacking. Here we report high-resolution angle-resolved photoemission spectroscopy measurements on CeCoIn5, a prototypical heavy fermion compound, and reveal the long-sought band hybridization and Fermi surface expansion. Unexpectedly, the localized-to-itinerant transition occurs at surprisingly high temperatures, yet f electrons are still largely localized at the lowest temperature. Moreover, crystal field excitations likely play an important role in the anomalous temperature dependence. Our results paint an comprehensive unanticipated experimental picture of the heavy fermion formation in a periodic multi-level Anderson/Kondo lattice, and set the stage for understanding the emergent properties in related materials.