Sure it's definitely a physical object. Classically it's viewed as waves of oscillating electric and magnetic fields, which we can easily measure and which interact with other electrically charged objects. In the quantum view it's like a particle -it's a small, localized excitation in the electromagnetic field. Either way it's a real physical thing, it interacts, it has energy and momentum. It gets absorbed and emitted. You can shine it on something and it exerts a pressure on that thing, you can even throw photons at a metal and knock electrons off the atoms at the surface.
You will learn more about this in higher classes.
Hope this helps :)