Thin films of topological insulator Bi_2Se_3 were deposited directly on insulating ferromagnetic EuS. Unusual negative magnetoresistance was observed near the zero field below the Curie temperature (T_C), resembling the weak localization effect; whereas the usual positive magnetoresistance was recovered above T_C. Such negative magnetoresistance was only observed for Bi_2Se_3 layers thinner than t~4nm, when its top and bottom surfaces are coupled. These results provide evidence for a proximity effect between a topological insulator and an insulating ferromagnet, laying the foundation for future realization of the half-integer quantized anomalous Hall effect in three-dimensional topological insulators.