The recent discovery of superconductivity in the quasi-one-dimensional compound K$_2$Cr$_3$As$_3$, which consists of double-walled tubes of [(Cr$_3$As$_3$)$^{2-}]^\infty$ that run along the c axis, has attracted immediate attention as a potential system for studying superconductors with reduced dimensionality. Here we report clear experimental evidence for the unconventional nature of the superconducting order parameter in K$_2$Cr$_3$As$_3$, by precisely measuring the temperature dependence of the change in the penetration depth $\Delta\lambda(T)$ using a tunnel diode oscillator. Linear behavior of $\Delta\lambda(T)$ is observed for $T\ll T_c$, instead of the exponential behavior of conventional superconductors, indicating that there are line nodes in the superconducting gap. This is strong evidence for unconventional behavior and may provide key information for identifying the pairing state of this novel superconductor.