The magnetic penetration depth λ(T) of MgB2 single crystals were derived from the reversible magnetization measurements for H//c up to 2.5 T. Our data λ^−2(T) could not be explained in the framework of single-gap theories. Instead, a two-gap model describes our data relatively well with gap values ΔS = 1.9 meV and ΔL = 6.1 meV.