We investigate theoretically the quantum-coherence properties of the cathodoluminescence (CL) emission produced by a temporally modulated electron beam. Specifically, we consider the quantum-optical correlations of CL from electrons that are previously shaped by a laser field. The main prediction here is the presence of phase correlations between the emitted CL field and the electron-modulating laser, even though the emission intensity and spectral profile are independent of the electron state. In addition, the coherence of the CL field extends to harmonics of the laser frequency. Since electron beams can be focused to below one Angstrom, their ability to transfer optical coherence could enable ultra precise excitation, manipulation, and spectroscopy of nanoscale quantum systems.