We report on the experimental realization of optical frequency comb (OFC) generation in a doubly-resonant cavity second harmonic generation (SHG) system. OFCs continue to attract significant interest, offering a wealth of potential applications beyond frequency metrology. Continuously-driven Kerr microresonators, whose nonlinear response is dominated by the third-order nonlinearity, have proven to be viable alternatives to comb sources based on femtosecond mode-locked lasers. Recently, OFCs have also been directly generated through second-order nonlinear interactions in cw-pumped resonators namely, a singly-resonant cavity SHG system and a nearly-degenerate optical parametric oscillator. Theoretical studies have also predicted OFCs in doubly-resonant cavity SHG systems with a much lower threshold with respect to the singly-resonant configurations. Here we report on the first observations of OFCs in such a doubly-resonant system. The experiment is based on a periodically poled lithium niobate crystal, placed in a traveling-wave optical cavity, pumped by a cw Nd:YAG laser emitting 0.5 W at 1064 nm. The cavity is resonant for frequencies around both the fundamental pump and its second harmonic at 532 nm, and an intracavity adjustable silica window is used to separately set the detunings of the pump and its second harmonic. Stable cavity locking to the pump laser is achieved via the Pound-Drever-Hall offset locking technique, thanks to a counterpropagating orthogonally polarized auxiliary beam. We measured a power threshold for comb formation as low as 5 mW, reduced by more than one order of magnitude with respect to singly-resonant configurations. The locking system permitted to explore frequency detunings up to several cavity linewidths, and to correspondingly observe a large variety of comb regimes, with different teeth spacing and spectral span, as well as the contribution of photothermal effect to the whole dynamics. In this regard, we developed an extended theoretical model that includes thermo-optical nonlinearities.