Long-range interparticle interactions are revealed in extremely dilute thermal atomic ensembles using highly sensitive nonlinear femtosecond spectroscopy. Delocalized excitons are detected in the atomic systems at particle densities where the mean interatomic distance (>10 μm) is much greater than the laser wavelength and multi-particle coherences should destructively interfere over the ensemble average. With a combined experimental and theoretical analysis, we identify an effective interaction mechanism, presumably of dipolar nature, as the origin of the excitonic signals. Our study implies that even in highly-dilute thermal atom ensembles, significant transition dipole–dipole interaction networks may form that require advanced modeling beyond the nearest neighbor approximation to quantitatively capture the details of their many-body properties.