Coupling of spin waves with electromagnetic cavity field is demonstrated in an antiferromagnet, dysprosium ferrite (DyFeO3). By measuring transmission at 0.2-0.35 THz and sweeping sample temperature, magnon-photon coupling signatures were found at crossings of spin-wave resonances with Fabry-Perot cavity modes formed in samples. The obtained spectra are explained in terms of classical electrodynamics and a microscopic model.