The physics and operating principles of hybrid superconductor-semiconductor devices rest ultimately on the magnetic properties of their elementary subgap excitations, usually called Andreev levels. Here we report a direct measurement of the Zeeman effect on the Andreev levels of a semiconductor quantum dot with large electron g-factor, strongly coupled to a conventional superconductor with a large critical magnetic field. This material combination allows spin degeneracy to be lifted without destroying superconductivity. We show that a spin-split Andreev level crossing the Fermi energy results in a quantum phase transition to a spin-polarized state, which implies a change in the fermionic parity of the system. This crossing manifests itself as a zero-bias conductance anomaly at finite magnetic field with properties that resemble those expected for Majorana modes in a topological superconductor. Although this resemblance is understood without evoking topological superconductivity, the observed parity transitions could be regarded as precursors of Majorana modes in the long-wire limit.