Context : \zeta Ori A is a hot star claimed to host a weak magnetic field , but no clear magnetic detection was obtained so far . In addition , it was recently shown to be a binary system composed of a O9.5I supergiant and a B1IV star . Aims : We aim at verifying the presence of a magnetic field in \zeta Ori A , identifying to which of the two binary components it belongs ( or whether both stars are magnetic ) , and characterizing the field . Methods : Very high signal-to-noise spectropolarimetric data were obtained with Narval at the Bernard Lyot Telescope ( TBL ) in France . Archival HEROS , FEROS and UVES spectroscopic data were also used . The data were first disentangled to separate the two components . We then analyzed them with the Least-Squares Deconvolution ( LSD ) technique to extract the magnetic information . Results : We confirm that \zeta Ori A is magnetic . We find that the supergiant component \zeta Ori Aa is the magnetic component : Zeeman signatures are observed and rotational modulation of the longitudinal magnetic field is clearly detected with a period of 6.829 d. This is the only magnetic O supergiant known as of today . With an oblique dipole field model of the Stokes V profiles , we show that the polar field strength is \sim 140 G. Because the magnetic field is weak and the stellar wind is strong , \zeta Ori Aa does not host a centrifugally supported magnetosphere . It may host a dynamical magnetosphere . Its companion \zeta Ori Ab does not show any magnetic signature , with an upper limit on the undetected field of \sim 300 G . Conclusions :