The quantum regression theorem states that the correlations of a system at two different times are governed by the same equations of motion as the single-time averages. This provides a powerful framework for the investigation of the intrinsic microscopic behaviour of physical systems by studying their macroscopic response to a controlled external perturbation. Here we experimentally demonstrate that the two-time particle number correlations in a photon Bose-Einstein condensate inside a dye-filled microcavity exhibit the same dynamics as the response of the condensate to a sudden perturbation of the dye molecule bath. This confirms the regression theorem for a quantum gas, and, moreover, demonstrates it in an unconventional form where the perturbation acts on the bath and only the condensate response is monitored. For strong perturbations, we observe nonlinear relaxation dynamics which our microscopic theory relates to the equilibrium fluctuations, thereby extending the regression theorem beyond the regime of linear response.