Near-Earth asteroid population models predict the existence of asteroids located inside the orbit of Venus. However, despite searches up to the end of 2019, none have been found. Here we report the discovery by the Zwicky Transient Facility of the first known asteroid located inside of Venus’ orbit, 2020 AV$_2$, possessing an aphelion distance of 0.65 au and $sim$2 km in size. While it is possible that 2020 AV$_2$ is the largest of its kind, we find that its discovery is surprising in the context of population models where the expected count is close to zero. If this discovery is not a statistical fluke, then 2020 AV$_2$ may come from a yet undiscovered source population of asteroids interior to Venus, and currently favored asteroid population models may need to be adjusted.