A study was done over the past 16 years to watch stars in the center of the Milky Way galaxy orbit the massive object there. The stars were observed in the infrared because all of the dust between us and the galactic center blocks visible light. From the 28 orbits well determined orbits they got came a mass of four million solar masses for the object. Stuff that much mass into the small volume that the stars are orbiting and you have a supermassive black hole.
Beyond Any Reasonable Doubt: A Supermassive Black Hole Lives in Centre of Our Galaxy | Universe Today
Closing In on the Milky Way's Central Black Hole: Scientific American
The paper is here with the link to the pdf on the right: [0810.4674] Monitoring stellar orbits around the Massive Black Hole in the Galactic Center
Beyond Any Reasonable Doubt: A Supermassive Black Hole Lives in Centre of Our Galaxy | Universe Today
Closing In on the Milky Way's Central Black Hole: Scientific American
The paper is here with the link to the pdf on the right: [0810.4674] Monitoring stellar orbits around the Massive Black Hole in the Galactic Center