We report the detection of quasi-periodic oscillation (QPO) at ~41 mHz in the transient high-mass Be/X-ray binary pulsar 4U~0115+634 using data from the Rossi X-Ray Timing Explorer (RXTE) observatory. The observations used in the present work were carried out during X-ray outbursts in 1999 March-April, 2004 September-October and 2008 March-April. This frequency of the newly detected QPO was found to vary in 27-46 mHz range. This ~41 mHz QPO was detected in four of the 36 pointed RXTE Proportional Counter Array (PCA) observations during 1999 outburst where as during 2004 and 2008 outbursts, it was detected in four and three times out of 33 and 26 observations, respectively. Though QPOs at ~2 mHz, and ~62 mHz were reported earlier, the ~41 mHz QPO and its first harmonic were detected for the first time in this pulsar. There are three RXTE/PCA observations where multiple QPOs were detected in the power density spectrum of 4U~0115+634. Simultaneous presence of multiple QPOs is rarely seen in accretion powered X-ray pulsars. Spectral analysis of all the pointed RXTE/PCA observations revealed that the 3-30 keV energy spectrum was well described by Negative and Positive Power-law with EXponential cutoff (NPEX) continuum model along with interstellar absorption and cyclotron absorption components. During the three X-ray outbursts, however, no systematic variation in any of the spectral parameters other than the earlier reported anti-correlation between cyclotron absorption energy and luminosity was seen. Presence of any systematic variation of QPO frequency and rms of QPO with source flux were also investigated yielding negative results.