Optically induced entanglement is identified by the spectrum of the phase-sensitive homodyne-detected coherent nonlinear optical response in a single gallium arsenide quantum dot. The electron-hole entanglement involves two magneto-excitonic states differing in transition energy and polarization. The strong coupling needed for entanglement is provided through the Coulomb interaction involving the electrons and holes. The result presents a first step toward the optical realization of quantum logic operations using two or more quantum dots.