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The Monkey Banana and Water Spray Experiment
The experiment is not real.
A vaguely similar experiment by Stephenson (1966) is often quoted as if it supports the story, but it does not. The results of that real experiment do not in any way support the "herd mentality" moral of the story; in some cases, they actively contradicts it.
This is how it is commonly told:

"The Experiment- Part 1
5 monkeys are locked in a cage, a banana was hung from the ceiling and a ladder was placed right underneath it.
As predicted, immediately, one of the monkeys would race towards the ladder, to grab the banana. However, as soon as he would start to climb, the researcher would spray the monkey with ice-cold water.
but here's the kicker- In addition, he would also spray the other four monkeys.

When a second monkey tried to climb the ladder, the researcher would, again, spray the monkey with ice-cold water, As well as the other four watching monkeys;
This was repeated again and again until they learned their lesson
Climbing equals scary cold water for EVERYONE so No One Climbs the ladder.

The Experiment- Part 2
Once the 5 monkeys knew the drill, the researcher replaced one of the monkeys with a new inexperienced one. As predicted, the new monkey spots the banana, and goes for the ladder. BUT, the other four monkeys, knowing the drill, jumped on the new monkey and beat him up. The beat up new guy thus Learns- NO going for the ladder and No Banana Period- without even knowing why! and also without ever being sprayed with water!

These actions get repeated with 3 more times, with a new monkey each time and ASTONISHINGLY each new monkey- who had never received the cold-water Spray himself (and didn't even know anything about it), would Join the beating up of the New guy.

This is a classic example of Mob Mentality- bystanders and outsiders uninvolved with the fight- join in 'just because'.

When the researcher replaced a third monkey, the same thing happened; likewise for the fourth until, eventually, all the monkeys had been replaced and none of the original ones are left in the cage (that had been sprayed by water).

The Experiment- Part 3
Again, a new monkey was introduced into the cage. It ran toward the ladder only to get beaten up by the others. The monkey turns with a curious face asking "why do you beat me up when I try to get the banana?"
The other four monkeys stopped and looked at each other puzzled (None of them had been sprayed and so they really had no clue why the new guy can't get the banana) but it didn't matter, it was too late, the rules had been set. And So, although they didn't know WHY, they beat up the monkey just because " that's the way we do things around here"

There is no evidence that that this experiment ever took place. An experiment was done in 1966 that involved pairs of monkeys but the results are irrelevant to the above story. Some of the results actually contradict the story: in some pairs, the new monkey behaved so fearlessly around the object that the first monkey learned to lose their fear of it altogether.

Sources:
Stephenson, G. R. (1967). Cultural acquisition of a specific learned response among rhesus monkeys. In: Starek, D., Schneider, R., and Kuhn, H. J. (eds.), Progress in Primatology, Stuttgart: Fischer, pp. 279-288.

Mentioned in: Galef, B. G., Jr. (1976). Social Transmission of Acquired Behavior: A Discussion of Tradition and Social Learning in Vertebrates. In: Rosenblatt, J.S., Hinde, R.A., Shaw, E. and Beer, C. (eds.), Advances in the study of behavior, Vol. 6, New York: Academic Press, pp. 87-88:
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