Characterizing the bulk compositions of transiting exoplanets within the M dwarf radius valley offers a means to establish whether the rocky/enveloped transition emerges from an atmospheric mass loss process or is imprinted by the planet formation itself. We present the confirmation of one such planet around an early M dwarf: TOI-1695 b (P=3.13 days, R=1.87 +0.15 −0.13) whose radius and orbital period situate the planet within the M dwarf radius valley between model predictions from thermally-driven mass loss versus gas-depleted formation, thus making the system an important testbed for emergence models of the rocky/enveloped transition around early M dwarfs. We confirm the planet by analyzing four sectors of TESS data jointly with 46 precise radial velocity measurements taken with the HARPS-N spectrograph. We measure a planetary mass of 6.39 +0.98 −1.0 , which reveals that TOI-1695 b is not consistent with a purely terrestrial composition of iron and magnesium silicate, and instead requires the presence of a low-density component such as water and/or a H/He envelope. Our finding that TOI-1695 b is not purely rocky is not consistent with the M dwarf radius valley being sculpted by a thermally-driven mass loss process and instead favors a gas-depleted formation scenario.