The photon momentum transfer in the two-photon double ionization of helium is theoretically studied based on the $ab\phantom{\rule{4pt}{0ex}}initio$ calculations. A nonlinear dependence of the transferred momentum on the photon energy is identified at relatively small photon energies. As expected, the linear dependence is recovered with the slope approaching 1.60 when the photon energy becomes sufficiently large. With a semianalytical model including the Coulomb screen effect in the two-electron ground state, we can qualitatively reproduce the nonlinear dependence and find that it is mainly contributed by the fast electron. However, compared with the results from the $ab\phantom{\rule{4pt}{0ex}}initio$ calculations, the quantitative discrepancies at relatively small photon energies can be accounted for only by the electron correlation in the intermediate state. The present study reveals the vital roles played by the two-electron effects for the complicated photon momentum transfer process in the few-photon and few-electron systems.