Free electrons are a universal source of electromagnetic fields, and fundamentally their quantized energy exchange may facilitate generating tunable quantum light. Because the quantum features of the emitted radiation are encoded in the joint electronic and photonic state, they can only be revealed by a measurement accessing both subsystems. Here we demonstrate the coherent parametric generation of such non-classical states of light by free electrons. Investigating electron–photon correlations, we show that the quantized electron energy loss heralds the number of photons generated in a dielectric waveguide. In Hanbury Brown–Twiss measurements, we observe an electron-heralded single-photon state using antibunching intensity correlation, whereas two-quantum energy losses of individual electrons yield pronounced two-photon coincidences. Our results will enable the tailored preparation of higher-number Fock and other optical quantum states on the basis of controlled interactions with free-electron beams.