Halo phenomena have long been an important frontier in both experimental and theoretical nuclear physics. 37Mg was identified as a halo nucleus in 2014 and remains the heaviest nuclear halo system to date. While the halo phenomenon in 37Mg was not predicted before the discovery, its description has been still challenging afterwards. In this Letter, we report a microscopic and self-consistent description of the neutron halo in 37Mg using the deformed relativistic Hartree-Bogoliubov theory in continuum (DRHBc) that was developed in 2010. The experimental neutron separation energies and empirical matter radii of neutron-rich magnesium isotopes as well as the deformed p-wave halo characteristics of 37Mg are well reproduced without any free parameters. In particular, the orbital occupied by the halo neutron in 37Mg, exhibiting p-wave components comparable to those suggested in experiments, remains consistent across various employed density functionals including PC-F1, PC-PK1, NL3*, and PK1. The DRHBc theory investigated only even-even magnesium isotopes in previous works and for that reason missed predicting 37Mg as a halo nucleus before 2014. Although the core and the halo of 37Mg are both prolate, higher-order shape decoupling on the hexadecapole and hexacontatetrapole levels is predicted.