We measure the coherent scattering of light by a cloud of laser-cooled atoms with a size comparable to the wavelength of light. By interfering a laser beam tuned near an atomic resonance with the field scattered by the atoms, we observe a resonance with a redshift, a broadening, and a saturation of the extinction for increasing atom numbers. We attribute these features to enhanced light-induced dipole-dipole interactions in a cold, dense atomic ensemble that result in a failure of standard predictions such as the “cooperative Lamb shift”. The description of the atomic cloud by a mean-field model based on the Lorentz-Lorenz formula that ignores scattering events where light is scattered recurrently by the same atom and by a microscopic discrete dipole model that incorporates these effects lead to progressively closer agreement with the observations, despite remaining differences