Convolution is an essential operation in signal and image processing and consumes most of the computing power in convolutional neural networks. Photonic convolution has the promise of addressing computational bottlenecks and outperforming electronic implementations. Performing photonic convolution in the synthetic frequency dimension, which harnesses the dynamics of light in the spectral degrees of freedom for photons, can lead to highly compact devices. Here, we experimentally realize convolution operations in the synthetic frequency dimension. Using a modulated ring resonator, we synthesize arbitrary convolution kernels using a predetermined modulation waveform with high accuracy. We demonstrate the convolution computation between input frequency combs and synthesized kernels. We also introduce the idea of an additive offset to broaden the kinds of kernels that can be implemented experimentally when the modulation strength is limited. Our work demonstrate the use of synthetic frequency dimension to efficiently encode data and implement computation tasks, leading to a compact and scalable photonic computation architecture.