In classical geometry, a linear space is a space that is closed under linear combinations. In tropical geometry, it has long been a consensus that tropical varieties defined by valuated matroids are the tropical analogue of linear spaces. It is not difficult to see that each such space is tropically convex, i.e. closed under tropical linear combinations. However, we will also show that the converse is true: Each tropical variety that is also tropically convex is supported on the complex of a valuated matroid. We also prove a tropical local-to-global principle: Any closed, connected, locally tropically convex set is tropically convex.