Studying how we explore the world in search of novelties is key to understand the mechanisms that can lead to new discoveries. Previous studies analyzed novelties in various exploration processes, defining them as the first appearance of an element. However, novelties can also be generated by combining what is already known. We hence define higher-order novelties as the first time two or more elements appear together, and we introduce higher-order Heaps' exponents as a way to characterize their pace of discovery. Through extensive analysis of real-world data, we find that processes with the same pace of discovery, as measured by the standard Heaps' exponent, can instead differ at higher orders. We then propose to model an exploration process as a random walk on a network in which the possible connections between elements evolve in time. The model reproduces the empirical properties of higher-order novelties, revealing how the network we explore changes over time along with the exploration process.