We present the discovery of an out-flowing ionized wind in the Seyfert 1 galaxy Mrk 335. Despite having been extensively observed by most of the largest X-ray observatories in the last decade, this bright source was not known to host warm absorber gas until recent XMM-Newton observations in combination with a long-term Swift monitoring program have shown extreme flux and spectral variability. The analysis of multi-epoch RGS spectra allowed us to compare the absorber properties at three very different flux states of the source. We have included archival, non-simultaneous UV data from Hubble Space Telescope (FOS, STIS, COS) with the aim of searching for any signature of absorption in this source that so far was known for being absorption-free in the UV band. In the Cosmic Origins Spectrograph (COS) spectra obtained a few months after the X-ray observations, we found broad absorption in C IV lines intrinsic to the active galactic nucleus and blue-shifted by a velocity roughly comparable to the X-ray outflow.