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The study of light lensed by cosmic matter has yielded much information about astrophysical questions. Observations are explained using geometrical optics following a ray-based description of light. After deflection the lensed light interferes, but observing this diffractive aspect of gravitational lensing has not been possible due to coherency challenges caused by the finite size of the sources or lack of near-perfect alignment. In this article, we report on the observation of these wave effects of gravitational lensing by recreating the lensing conditions in the laboratory via electro-optic deflection of coherent laser light. The lensed light produces a beam containing regularities, caustics, and chromatic modulations of intensity that depend on the symmetry and structure of the lensing object. We were also able to observe previous and new geometric-optical lensing situations that can be compared to astrophysical observations. This platform could be a useful tool for testing numerical/analytical simulations, and for performing analog simulations of lensing situations when they are difficult to obtain otherwise. We found that laboratory lensed beams constitute a new class of beams, with long-range, low expansion, and self-healing properties, opening new possibilities for non-astrophysical applications.