Materials knowledge is inherently hierarchical. While high-level descriptors such as composition and structure are valuable for contextualizing materials data, the data must ultimately be considered in the context of its low-level acquisition details. Graph databases offer an opportunity to represent hierarchical relationships among data, organizing semantic relationships into a knowledge graph. Herein, we establish a knowledge graph of materials experiments whose construction encodes the complete provenance of each material sample and its associated experimental data and metadata. Additional relationships among materials and experiments further encode knowledge and facilitate data exploration. We illustrate the Materials Experiment Knowledge Graph (MEKG) using several use cases, demonstrating the value of modern graph databases for the enterprise of data-driven materials science.