EuAl4 possesses the BaAl4 crystal structure type with tetragonal symmetry I4/mmm. It undergoes a charge density wave (CDW) transition at TCDW = 145 K and features four consecutive antiferromagnetic phase transitions below 16 K. Here we use single-crystal X-ray diffraction to determine the incommensurately modulated crystal structure of EuAl4 in its CDW state. The CDW is shown to be incommensurate with modulation wave vector q = (0,0,0.1781 (3)) at 70 K. The symmetry of the incommensurately modulated crystal structure is orthorhombic with superspace group Fmmm(00σ)s00, where Fmmm is a subgroup of I4/mmm of index 2. Both the lattice and the atomic coordinates of the basic structure remain tetragonal. Symmetry breaking is entirely due to the modulation wave, where atoms Eu and Al1 have displacements exclusively along a, while the fourfold rotation would require equal displacement amplitudes along a and b. The calculated band structure of the basic structure and interatomic distances in the modulated crystal structure both indicate the Al atoms as the location of the CDW. The temperature dependence of the specific heat reveals an anomaly at TCDW = 145 K of a magnitude similar to canonical CDW systems. The present discovery of orthorhombic symmetry for the CDW state of EuAl4 leads to the suggestion of monoclinic instead of orthorhombic symmetry for the third AFM state.