Quantum gases of light, such as photon or polariton condensates in optical microcavities, are collective quantum systems enabling a tailoring of dissipation from, for example, cavity loss. This characteristic makes them a tool to study dissipative phases, an emerging subject in quantum many-body physics. We experimentally demonstrate a non-Hermitian phase transition of a photon Bose-Einstein condensate to a dissipative phase characterized by a biexponential decay of the condensate’s second-order coherence. The phase transition occurs because of the emergence of an exceptional point in the quantum gas. Although Bose-Einstein condensation is usually connected to lasing by a smooth crossover, the observed phase transition separates the biexponential phase from both lasing and an intermediate, oscillatory condensate regime. Our approach can be used to study a wide class of dissipative quantum phases in topological or lattice systems.