Unconventional superconductors are often characterized by numerous competing and even intertwined orders in their phase diagrams. In particular, the electronic nematic phases, which spontaneously break rotational symmetry and often simultaneously involve spin, charge and/or orbital orders, appear conspicuously in both the cuprate and iron-based superconductors. The fluctuations associated with these phases may provide the exotic pairing glue that underlies their high-temperature superconductivity. Helimagnet MnP, the first Mn-based superconductor under pressure, lacks high rotational symmetry. However our resonant soft X-ray scattering (RSXS) experiment discovers novel helical orbital density wave (ODW) orders in this three-dimensional, low-symmetry system, and reveals intertwined ordering phenomena in unprecedented detail. In particular, a ODW forms with half the period of the spin order and fully develops slightly above the spin ordering temperature, their domains develop simultaneously, yet the spin order domains are larger than those of the ODW, and they cooperatively produce another ODW with 1/3 the period of the spin order. These observations provide a comprehensive picture of the intricate interplay between spin and orbital orders in correlated materials, and they suggest that nematic-like physics ubiquitously exists beyond two-dimensional and high-symmetry systems, and the superconducting mechanism of MnP is likely analogous to those of cuprate and iron-based superconductors.