Higher-order topology yields intriguing multidimensional topological phenomena, while Weyl semimetals have unconventional properties such as chiral anomaly. However, so far, Weyl physics remain disconnected with higher-order topology. Here, we report the theoretical discovery of higher-order Weyl points and thereby the establishment of such an important connection. We demonstrate that higher-order Weyl points can emerge in chiral materials such as chiral tetragonal crystals as the intermediate phase between the conventional Weyl semimetal and 3D higher-order topological phases. Higher-order Weyl semimetals manifest themselves uniquely by exhibiting concurrent chiral Fermi-arc surface states, topological hinge states, and the momentum-dependent fractional hinge charge, revealing a novel class of higher-order topological phases.