  It is a long-standing important issue in heavy fermion physics whether
$f$-electrons are itinerant or localized when the magnetic order occurs. Here
we report the {\it in situ} scanning tunneling microscopy observation of the
electronic structure in epitaxial thin films of CeRhIn$_5$, a prototypical
heavy fermion compound with antiferromagnetic ground state. The conductance
spectra above the N\'eel temperature $T_N$ clearly resolve the energy gap due
to the hybridization between local 4$f$ electrons and conduction bands as well
as the crystal electric field excitations. These structures persist even below
$T_N$. Moreover, an additional dip in the conductance spectra develops due to
the antiferromagnetic order. These results provide direct evidence for the
presence of itinerant heavy $f$-electrons participating in the Fermi surface
even in the magnetically ordered state of CeRhIn$_5$.
