Weyl semimetals are extraordinary systems where exotic phenomena such as Fermi arcs, pseudo-gauge fields and quantum anomalies arise from topological band degeneracy in crystalline solids for electrons and metamaterials for photons and phonons. On the other hand, higher-order topological insulators unveil intriguing multidimensional topological physics beyond the conventional bulk-edge correspondences. However, it is unclear whether higher-order topology can emerge in Weyl semimetals. Here, we report the experimental discovery of higher-order Weyl semimetals in its phononic analog which exhibit topologically-protected boundary states in multiple dimensions. We create the physical realization of the higher-order Weyl semimetal in a chiral phononic crystal with uniaxial screw symmetry. Using near-field spectroscopies, we observe the chiral Fermi arcs on the surfaces and a new type of hinge arc states on the hinge boundaries. These topological boundary arc states link the projections of Weyl points in different dimensions and directions, and hence demonstrate higher-order multidimensional topological physics in Weyl semimetals. Our study establishes the fundamental connection between higher-order topology and Weyl physics in crystalline materials and unveils a new horizon of higher-order topological semimetals where unprecedented materials such as higher-order topological nodal-lines may emerge.