The discovery may provide clues as to how other solar systems formed, said the researchers, who published their study in the British journal Nature.
The asteroid, named Oumuamua by its discoverers, is one-quarter mile (400 meters) long and highly elongated --perhaps 10 times as long as it is wide.
That odd shape is unprecedented among the some 750,000 asteroids and comets observed in our solar system where they formed, said the researchers.
They concluded that the cigar-shaped thing is from another solar system due to data on its orbit.
Asteroids like Oumuamua enter our solar system about once a year, these scientists said.
But they are hard to trace and had not been detected until now, thanks to stronger telescopes.
The detection suggests this object had been wandering through our galaxy, the Milky Way, unattached to any star system for hundreds of millions of years before it ran into ours.
"For decades we've theorized that such interstellar objects are out there, and now -- for the first time -- we have direct evidence they exist," said Thomas Zurbuchen, associate administrator for NASA's Science Mission Directorate in Washington.
"This history-making discovery is opening a new window to study formation of solar systems beyond our own," he added.
The asteroid was detected by a telescope in Hawaii. Oumuamua means messenger in Hawaiian.
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