We present the exact solution to the linearized Maxwell equations in space-time slightly curved by a gravitational wave. We show that in general, even dealing with a first-order theory in the strength of the gravitational field, the solution can not be written as the sum of the flat space-time one and a weak perturbation due to the external field. Such an impossibility arises when either the frequency of the gravitational wave is too low or too high with respect to the one of the electromagnetic field. We also provide an application of the solution to the case of an electromagnetic field bounced between two parallel conducting planes.