Two-dimensional (2D) semiconductors enable the investigation of light-matter interactions in low dimensions1,2. Yet, the study of elementary photoexcitations in 2D semiconductors with intrinsic magnetic order remains a challenge due to the lack of suitable materials3,4. Here, we report the observation of excitons coupled to zigzag antiferromagnetic order in the layered antiferromagnetic insulator NiPS3. The exciton exhibits a narrow photoluminescence linewidth of roughly 350 μeV with near-unity linear polarization. When we reduce the sample thickness from five to two layers, the photoluminescence is suppressed and eventually vanishes for the monolayer. This suppression is consistent with the calculated bandgap of NiPS3, which is highly indirect for both the bilayer and the monolayer5. Furthermore, we observe strong linear dichroism (LD) over a broad spectral range. The optical anisotropy axes of LD and of photoluminescence are locked to the zigzag direction. Furthermore, their temperature dependence is reminiscent of the in-plane magnetic susceptibility anisotropy. Hence, our results indicate that LD and photoluminescence could probe the symmetry breaking magnetic order parameter of 2D magnetic materials. In addition, we observe over ten exciton-A1g-phonon bound states on the high-energy side of the exciton resonance, which we interpret as signs of a strong modulation of the ligand-to-metal charge-transfer energy by electron-lattice interactions. Our work establishes NiPS3 as a 2D platform for exploring magneto-exciton physics with strong correlations.