To date, thousands of planets have been discovered, but there are regions of the orbital parameter space that are still bare. An example is the short period and intermediate mass/radius space known as the ‘Neptunian desert’, where planets should be easy to find but discoveries remain few. This suggests unusual formation and evolution processes are responsible for the planets residing here. We present the discovery of TOI-332 b, a planet with an ultra-short period of 0.78 d that sits firmly within the desert. It orbits a K0 dwarf with an effective temperature of 5251 ± 71 K. TOI-332 b has a radius of 3.20_-0.12^+0.16  R_⊕, smaller than that of Neptune, but an unusually large mass of 57.2 ± 1.6 M_⊕. It has one of the highest densities of any Neptune-sized planet discovered thus far at 9.6_-1.3^+1.1  g cm⁻³. A 4-layer internal structure model indicates it likely has a negligible hydrogen-helium envelope, something only found for a small handful of planets this massive, and so TOI-332 b presents an interesting challenge to planetary formation theories. We find that photoevaporation cannot account for the mass-loss required to strip this planet of the Jupiter-like envelope it would have been expected to accrete. We need to look towards other scenarios, such as high-eccentricity migration, giant impacts, or gap opening in the protoplanetary disc, to try and explain this unusual discovery.