We show a new class of complex solitary wave that exists in a nonlinear optical cavity with appropriate dispersion characteristics. The cavity soliton consists of multiple soliton-like spectro-temporal components that exhibit distinctive colors but coincide in time and share a common phase, formed together via strong inter-soliton four-wave mixing and Cherenkov radiation. The multicolor cavity soliton shows intriguing spectral locking characteristics and remarkable capability of spectrum management to tailor soliton frequencies, which would be very useful for versatile generation and manipulation of multi-octave spanning phase-locked Kerr frequency combs, with great potential for applications in frequency metrology, optical frequency synthesis, and spectroscopy.