Recently, theory has predicted a Majorana zero mode (MZM) to induce spin selective Andreev reflection (SSAR), a novel magnetic property which can be used to detect the MZM. Here, spin-polarized scanning tunneling microscopy or spectroscopy has been applied to probe SSAR of MZMs in a topological superconductor of the Bi2Te3/NbSe2 heterostructure. The zero-bias peak of the tunneling differential conductance at the vortex center is observed substantially higher when the tip polarization and the external magnetic field are parallel rather than antiparallel to each other. This spin dependent tunneling effect provides direct evidence of MZM and reveals its magnetic property in addition to the zero energy modes. Our work will stimulate MZM research on these novel physical properties and, hence, is a step towards experimental study of their statistics and application in quantum computing.