We present a quantum Monte Carlo method capable of sampling the full density matrix of a many-particle system at finite temperature. This allows arbitrary reduced density matrix elements and expectation values of complicated nonlocal observables to be evaluated easily. The method resembles full configuration interaction quantum Monte Carlo but works in the space of many-particle operators instead of the space of many-particle wave functions. One simulation provides the density matrix at all temperatures simultaneously, from
T
=
∞
to
T
=
0
, allowing the temperature dependence of expectation values to be studied. The direct sampling of the density matrix also allows the calculation of some previously inaccessible entanglement measures. We explain the theory underlying the method, describe the algorithm, and introduce an importance-sampling procedure to improve the stochastic efficiency. To demonstrate the potential of our approach, the energy and staggered magnetization of the isotropic antiferromagnetic Heisenberg model on small lattices, the concurrence of one-dimensional spin rings, and the Renyi
S
2
entanglement entropy of various sublattices of the
6
×
6
Heisenberg model are calculated. The nature of the sign problem in the method is also investigated.