Gravitational lensing is pretty strong proof that photons follow the curvature of space affected by a gravitional field. If photons had mass themselves they would not follow straight lines in free space but they'd clump together over astronomical distances and long periods of travel. Though there is a way to get them to act in unison which gives some pretty odd effects:
https://news.mit.edu/2018/physicists-create-new-form-light-0...