We have experimentally confirmed the presence of long-memory correlations in the wandering of a thin Gaussian laser beam over a screen after propagating through a turbulent medium. A laboratory-controlled experiment was conducted in which coordinate fluctuations of the laser beam were recorded at a sufficiently high sampling rate for a wide range of turbulent conditions. Horizontal and vertical displacements of the laser beam centroid were subsequently analyzed by implementing detrended fluctuation analysis. This is a very well-known and widely used methodology to unveil memory effects from time series. Results obtained from this experimental analysis allow us to confirm that both coordinates behave as highly persistent signals for strong turbulent intensities. This finding is relevant for a better comprehension and modeling of the turbulence effects in free-space optical communication systems and other applications related to propagation of optical signals in the atmosphere.