A fluid of spheroids, ellipsoids of revolution, is among the simplest models of the disordered matter, where positional and rotational degrees of freedom of the constituent particles are coupled. However, while highly anisometric rods, and hard spheres, were intensively studied in the last decades, the structure of a fluid of spheroids is still unknown. We reconstruct the structure of a simple fluid of spheroids, employing direct confocal imaging of colloids, in three dimensions. The ratio t between the polar axis and the equatorial diameter for both our prolate and oblate spheroids is not far from unity, which gives rise to a delicate interplay between rotations and translations. Strikingly, the measured positional interparticle correlations are significantly stronger than theoretically predicted, indicating that further theoretical attention is required, to fully understand the coupling between translations and rotations in these fundamental fluids.