The origin of non-classicality in physical systems and its connection to distinctly quantum features such as entanglement and coherence is a central question in quantum physics. This work analyses this question theoretically and experimentally, linking quantitatively non-classicality with quantum coherence. On the theoretical front, we show when the coherence of an observable is linearly related to the degree of violation of the Kolmogorov condition, which quantifies the deviation from any classical (non-invasive) explanation of the multi-time statistics. Experimentally, we probe this connection between coherence and non-classicality in a time-multiplexed optical quantum walk. We demonstrate exquisite control of quantum coherence
of the walker by varying the degree of coherent superposition effected by the coin, and we show a concomitant variation in the degree of non-classicality of the walker statistics, which can be accessed directly by virtue of the unprecedented control on the measurement-induced effects obtained via fast programmable electro-optic modulators.