Strong quantum correlations in matter are responsible for some of the most extraordinary properties of materials, from magnetism to high-temperature superconductivity, but their integration in quantum devices requires a strong, coherent coupling with photons, which still represents a formidable technical challenge in solid state systems. In cavity quantum electrodynamics, quantum gases such as Bose-Einstein condensates or lattice gases have been strongly coupled with light. However, neither Fermionic quantum matter, comparable to electrons in solids, nor atomic systems with controlled interactions, have thus far been strongly coupled with photons. Here we report on the strong coupling of a quantum-degenerate unitary Fermi gas with light in a high finesse cavity. We map out the spectrum of the coupled system and observe well resolved dressed states, resulting from the strong coupling of cavity photons with each spin component of the gas. We investigate spin-balanced and spin-polarized gases and find quantitative agreement with ab initio calculation describing light-matter interaction. Our system offers complete and simultaneous control of atom-atom and atom-photon interactions in the quantum degenerate regime, opening a wide range of perspectives for quantum simulation.