The 5d^{1} ordered double perovskites present an exotic playground for studying novel multipolar physics due to large spin-orbit coupling. We present Re L_{3} edge resonant inelastic x-ray scattering (RIXS) results that reveal the presence of the dynamic Jahn-Teller effect in the A_{2}MgReO_{6} (A=Ca, Sr, Ba) family of 5d^{1} double perovskites. The spin-orbit excitations in these materials show a strongly asymmetric line shape and exhibit substantial temperature dependence, indicating that they are dressed with lattice vibrations. Our experimental results are explained quantitatively through a RIXS calculation based on a spin-orbit-lattice entangled electronic ground state with the dynamic Jahn-Teller effect taken into consideration. We find that the spin-orbit-lattice entangled state is robust against magnetic and structural phase transitions as well as against significant static Jahn-Teller distortions. Our results illustrate the importance of including vibronic coupling for a complete description of the ground state physics of 5d^{1} double perovskites.