The SOPHIE Consortium started a large program of exoplanets search and characterization in the Northern hemisphere with the new spectrograph SOPHIE at the 1.93-m telescope of Haute-Provence Observatory, France. The objectives of this program are to characterize the zoo of exoplanets and to bring strong constraints on their processes of formation and evolution using the radial velocity technique. We present here new SOPHIE measurements of the transiting planet host star XO-3. This allowed us to observe the Rossiter-McLaughlin effect and to refine the parameters of the planet. The unusual shape of the radial velocity anomaly during the transit provides a hint for a nearly transverse Rossiter-McLaughlin effect. The sky-projected angle between the planetary orbital axis and the stellar rotation axis should be λ = 70° ± 15° to be compatible with our observations. This suggests that some close-in planets might result from gravitational interaction between planets and/or stars rather than migration. This result requires confirmation by additional observations.