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Over the recent years coherent, time-periodic modulation has been established as a versatile tool for realizing novel Hamiltonians. Using this approach, known as Floquet engineering, we experimentally realize a long-ranged, anisotropic Heisenberg model with tunable interactions in a trapped ion quantum simulator. We demonstrate that the spectrum of the model contains not only single magnon excitations but also composite magnon bound states. For the long-range interactions with the experimentally realized power-law exponent, the group velocity of magnons is unbounded. Nonetheless, for sufficiently strong interactions we observe bound states of these unconventional magnons which possess a non-diverging group velocity. By measuring the configurational mutual information between two disjoint intervals, we demonstrate the implications of the bound state formation on the entanglement dynamics of the system. Our observations provide key insights into the peculiar role of composite excitations in the non-equilibrium dynamics of quantum many-body systems.