Coherent conversion of microwave and optical photons can significantly expand the capabilities of information processing and communications systems. Here, we experimentally demonstrate the microwave-to-optical frequency conversion in a magneto-optical whispering gallery mode microcavity. By applying a magnetic field parallel to the microsphere equator, the intracavity optical field will be modulated when the magnon is excited by the microwave drive, leading to a microwave-to-optical conversion via the magnetic Stokes and anti-Stokes scattering processes. The observed single-sideband conversion phenomenon indicates a nontrivial optical photon–magnon interaction mechanism derived from the magnon that induced both the frequency shift and modulated coupling rate of optical modes. In addition, we demonstrate the single-sideband frequency conversion with an ultrawide tuning range up to 2.5 GHz, showing its great potential in microwave-to-optical conversion.