We report the first lidar observations of neutral Fe layers with gravity wave signatures in the thermosphere from 110–155 km at McMurdo, Antarctica in May 2011. The thermospheric Fe densities are low, ranging from ∼200 cm−3 at 120 km to ∼20 cm−3 at 150 km. The measured temperatures from 115–135 km are considerably warmer than MSIS and appear to be related to Joule heating enhanced by aurora. The observed waves originate in the lower atmosphere and show periods of 1.5–2 h through 77–155 km. The vertical wavelength increases from ∼13 km at 115 km to ∼70 km at 150 km altitude. These wave characteristics are strikingly similar to the traveling ionospheric disturbances caused by internal gravity waves. The thermospheric Fe layers are likely formed through the neutralization of vertically converged Fe+ layers that descend in height following the gravity wave downward phase progression.