How black holes are formed remains an open and fundamental question in astrophysics. Despite theoretical predictions, it lacks observations to understand whether the black hole formation experiences a supernova explosion. Here we report the discovery of an X-ray shell north of the Galactic microquasar SS 433 harboring a stellar-mass black hole spatially associated with radio continuum and polarization emissions and an H i cloud. Its spectrum can be reproduced by a 1 keV underionized plasma, from which the shell is inferred to have been created by a supernova explosion 20–30 kyr ago, and its properties constitute evidence for canonical supernova explosions to create some black holes. Our analysis precludes other possible origins including heated by jets or blown by disk winds. According to the lower mass limit of the compact object in SS 433, we roughly deduced that the progenitor should be more massive than 25 M ⊙. The existence of such a young remnant in SS 433 can also lead to new insights into the supercritical accretion in young microquasars and the γ-ray emission of this system. The fallback ejecta may provide accretion materials within tens of thousands of years, while the shock of the supernova remnant may play a crucial role in the cosmic-ray (re)acceleration.