Since the periodic parity‐time (PT)‐symmetric potential can possess unique properties compared to a single PT cell (with only two coupled components), various schemes have been proposed to realize PT symmetry in optical lattices. Here, a PT‐symmetric optical lattice is experimentally constructed with simultaneous gain and loss in an atomic medium. The gain and loss arrays are created in the four‐level N‐type configurations excited by spatially alternating strong and weak pump fields, respectively, which do not require discrete diffractions and can be realized more easily with more relaxed operating conditions. Also, the gain and loss coefficients can be modified independently. The dynamical behaviors of the system are investigated by measuring the phase difference between two adjacent gain and loss channels. The demonstrated PT‐symmetric lattice with easy accessibility and better tunability shows obvious advantages in exploiting more peculiar properties and great improvements in practical applications of periodic PT‐symmetric potentials.