There has never been a confirmed radio signal (or any other type of signal) from an intelligent alien civilization. However, in 1977 a strong and sudden signal was detected by the “Big Ear” radio telescope in Ohio and prompted that day’s observer, Jerry Ehman, to write in his famous “Wow!” comment on a computer printout of the graphed signal. The signal was never repeated. Since then, astronomers have tried to explain the signal either by attributing it to problems with telescope itself or perhaps or by astrophysical example. Even if it isn’t aliens, it might be something else interesting!
The most recent explanation provided by Antonio Paris of St. Petersburg College in Florida is that it might have been related to emission from hydrogen gas surrounding a comet that would have been in view of that telescope at that time in 1977 (Comet 266P/Christensen to be exact, but of course, you knew that). However, though comets are know to emit at that radio frequency due to hydrogen emission, the strength and suddenness of the signal can not easily be explained.
So, though astronomers remain open to relatively mundane explanations for the Wow! signal and other such one time signals, some remain skeptical of this particular explanation. However, it probably will prompt closer study of hydrogen of comets so that we can see whether or not such signals are ever produced.
For two good examples of how scientists and society might react to an alien signal or sudden alien visitation, check out the films Contact and Arrival (the first based on the Carl Sagan novel and the second based on a Ted Chiang short story).
…and, as always, if you are interested ins such subjects, check out my book, The Physics and Astronomy of Science Fiction (by me, Steven D. Bloom), published by McFarland and available from the publisher or just about any online bookseller.