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Using (1.0087±0.0044)×1010 𝐽/𝜓 events collected by the BESIII detector at the BEPCII collider, we report the first search for the baryon and lepton number violating decays Ξ0→𝐾−𝑒+ with Δ(𝐵−𝐿)=0 and Ξ0→𝐾+𝑒− with |Δ(𝐵−𝐿)|=2, where 𝐵 (𝐿) is the baryon (lepton) number. While no signal is observed, the upper limits on the branching fractions of these two decays are set to ℬ(Ξ0→𝐾−𝑒+)<3.6×10−6 and ℬ(Ξ0→𝐾+𝑒−)<1.9×10−6 at the 90% confidence level, respectively. These results offer a direct probe of baryon number violating interactions involving a strange quark.