The Dicke model is realized in the regime of weak dissipation by coupling a Bose-Einstein condensate to an optical cavity with ultra-narrow bandwidth. We explore the dynamical critical properties of the Hepp-Lieb-Dicke phase transition by performing quenches across the phase boundary. We observe hysteresis in the transition between a normal phase and a self-organized collective phase with an enclosed loop area showing power law scaling with respect to the quench time, which suggests an interpretation within a general framework introduced by Kibble and Zurek. Our work provides new insights into the non-equilibrium physics of a many-body-system with infinite range interactions.