Continuous-time Markov Chains (CTMCs) are an important class of stochastic models that have been used to model and analyze a variety of practical systems. In this paper we present an algorithm to learn and synthesize a CTMC model from sample executions of a system. Apart from its theoretical interest, we expect our algorithm to be useful in verifying black-box probabilistic systems and in compositionally verifying stochastic components interacting with unknown environments. We have implemented the algorithm and found it to be effective in learning CTMCs underlying practical systems from sample runs.