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We report exciton-mediated coupling between microwave and optical fields in cuprous oxide (Cu$_2$O) at low temperatures. Rydberg excitonic states with principal quantum number up to $n=12$ were observed at 4~K using both one-photon (absorption) and two-photon (second harmonic generation) spectroscopy. Near resonance with an excitonic state, the addition of a microwave field significantly changed the absorption lineshape, and added sidebands at the microwave frequency to the coherent second harmonic. Both effects showed a complex dependence on $n$ and angular momentum, $l$. All of these features are in semi-quantitative agreement with a model based on intraband electric dipole transitions between Rydberg exciton states. With a simple microwave antenna we already reach a regime where the microwave coupling (Rabi frequency) is comparable to the nonradiatively broadened linewidth of the Rydberg excitons. The results provide a new way to manipulate excitonic states, and open up the possibility of a cryogenic microwave to optical transducer based on Rydberg excitons., Comment: 18 pages, 8 figures more...