Humans continuously learn from experience, whereas conventional large language model (LLM) evaluations ignore the models' ability to improve through inference-time interaction. In this paper, we study how LLMs learn from iterative experience at test time, a setting we refer to as Chain-of-Experience (CoE), where models accumulate experiential traces through iterative interactions with self or environmental feedback to form a continual improvement loop beyond zero-shot inference. We instantiate CoE with diverse feedback mechanisms, including model self-feedback and environmental signals such as correctness or public coding test pass rates, and evaluate across math, coding, and knowledge domains using 8 LLMs, including GPT-5, Gemini-2.5 Pro, Claude-4.5 Sonnet. Our study shows that leveraging iterative experience consistently outperforms feedback-free baselines, achieving substantial gains with self feedback alone, alongside a 5.6% overall improvement and 19% lower API cost across tasks and models. We further show that combining complementary feedback channels (e.g., model and correctness signals) yields additional gains, and that CoE delivers higher accuracy per token than existing test-time strategies. We observe a positive correlation between LLM base ability and improvement capacity, and show that models remain robust under weak or spurious feedback, with different feedback contributing to distinct improvement aspects and most gains emerging early in the iterations.