The interaction between free electrons and light stands at the base of both classical and quantum physics, with applications in free-electron acceleration, radiation sources, and electron microscopy. Yet, to this day, all experiments involving free-electron–light interactions are fully explained by describing the light as a classical wave. Here, we observe quantum statistics effects of photons on free-electron–light interactions. We demonstrate interactions passing continuously from Poissonian to super-Poissonian and up to thermal statistics, revealing a transition from quantum walk to classical random walk on the free-electron energy ladder. The electron walker serves as the probe in non-destructive quantum detection, measuring the second order photon-correlation g(2)(0) and higher-orders g(n)(0). Unlike conventional quantum-optical detectors, the electron can perform both quantum weak measurements and projective measurements by evolving into an entangled joint-state with the photons. These findings inspire hitherto inaccessible concepts in quantum optics, including free-electron-based ultrafast quantum tomography of light.