Abstract Characterizing the bulk compositions of transiting exoplanets within the M dwarf radius valley offers a unique means to establish whether the radius valley emerges from an atmospheric mass-loss process or is imprinted by planet formation itself. We present the confirmation of such a planet orbiting an early-M dwarf (T _mag = 11.0294 ± 0.0074, M _s = 0.513 ± 0.012 M _⊙, R _s = 0.515 ± 0.015 R _⊙, and T _eff = 3690 ± 50 K): TOI-1695 b (P = 3.13 days and R p = 1.90 − 0.14 + 0.16 R ⊕ ). TOI-1695 b’s radius and orbital period situate the planet between model predictions from thermally driven mass loss versus gas depleted formation, offering an important test case for radius valley emergence models around early-M dwarfs. We confirm the planetary nature of TOI-1695 b based on five sectors of TESS data and a suite of follow-up observations including 49 precise radial velocity measurements taken with the HARPS-N spectrograph. We measure a planetary mass of 6.36 ± 1.00 M _⊕, which reveals that TOI-1695 b is inconsistent with a purely terrestrial composition of iron and magnesium silicate, and instead is likely a water-rich planet. Our finding that TOI-1695 b is not terrestrial is inconsistent with the planetary system being sculpted by thermally driven mass loss. We present a statistical analysis of seven well-characterized planets within the M dwarf radius valley demonstrating that a thermally driven mass-loss scenario is unlikely to explain this population.