The Mars Odyssey Thermal Emission Imaging System (THEMIS) imaged a Martian dust devil in both visible and thermal-infrared wavelengths on January 30, 2004. We believe this is the first documented infrared observation of an extraterrestrial dust devil, and the highest to be directly observed at more than 16 kilometers above the equatorial geoid of Mars. This dust devil measured over 700 meters in height and 375 meters across, and the strongest infrared signature was given by atmospheric dust absorption in the 9-micron range (THEMIS IR band 5). In addition to having formed in the extremely low-pressure environment of about 1 millibar, this dust devil is of particular interest because it was observed at 16:06 local time. This is an unusually late time of day to find dust devils on Mars, during a period when rapid surface cooling typically reduces the boundary-layer turbulence necessary to form these convective vortices. Understanding the mechanisms for dust-devil formation under such extreme circumstances will help to constrain theories of atmospheric dynamics, and of dust lifting and transport mechanisms on Mars.