Aim. Ultra-fast outflows (UFO) appear to be common in local active galactic nuclei (AGN) and may be powerful enough (Ė_kin ≥ 1% of L_bol) to effectively quench the star formation in their host galaxies. To test feedback models based on AGN outflows, it is mandatory to investigate UFOs near the peak of AGN activity, that is, at high-z where only a few studies are available to date. Methods. UFOs produce Fe resonant absorption lines measured above ≈7 keV. The most critical problem in detecting such features in distant objects is the difficulty in obtaining X-ray data with sufficient signal-to-noise. We therefore selected a distant QSO that gravitational lensing made bright enough for these purposes, the z = 2.64 QSO MG J0414+0534, and observed it with XMM-Newton for ≈78 ks. Results. The X-ray spectrum of MG J0414+0534 is complex and shows signatures of cold absorption (N_H ≈ 4 × 10²² cm⁻²) and of the presence of an iron emission line (E ≈ 6.4 keV, EW = 95 ± 53 eV) consistent with it originating in the cold absorber. Our main result, however, is the robust detection (more than 5σ) of an absorption line at E_int ≈ 9.2 keV (E_obs ≈ 2.5 keV observer frame). If interpreted as due to FeXXVI, it implies gas outflowing at v_out ≈ 0.3c. To our knowledge, this is the first detection of an UFO in a radio-loud quasar at z ≥ 1.5. We estimated that the UFO mechanical output is Ė_kin ≈ 2.5L_bol with ṗ_out∕ṗ_rad ≈ 17 indicating that it is capable of installing significant feedback between the super-massive black hole and the bulge of the host galaxy. We argue that this also suggests a magnetic driving origin of the UFO.