It has been known for decades that the observed number of baryons in the local universe falls about 30-40% short of the total number of baryons predicted by Big-Bang Nucleosynthesis (e.g [3]), inferred by density fluctuations of the Cosmic Microwave Background (e.g. [4,5]) and seen during the first 2-3 billion years of the universe in the so called “Lyman-α Forest”. While theory provides a reasonable solution to this paradox, by locating the missing baryons in hot and tenuous filamentary gas connecting galaxies, it also sanctions the difficulty of detecting them because their by far largest constituent, hydrogen, is mostly ionized and therefore virtually invisible in ordinary signal-to-noise Far-Ultraviolet (FUV) spectra (e.g. [8,9]). Indeed, despite the large observational efforts, only a few marginal claims of detection have been made so far ([2,10] and references therein). Here we report observations of two highly ionized oxygen (OVII) intervening absorbers in the exceptionally high signal to noise X-ray spectrum of a quasar at redshift >0.4. These absorbers show no variability over a 2-year timescale and have no associated cold absorption, which makes their quasar’s intrinsic outflow or host galaxy interstellar medium (ISM) origins implausible. The OVII systems lie instead in regions characterized by large (×4 compared to average) galaxy over-densities, and their number (down to the sensitivity threshold of our data), agrees well with numerical simulation predictions for the long-sought warm-hot intergalactic medium (WHIM). We conclude that the missing baryons in the WHIM have been found.