We observe a strong variation of the Zeeman splitting of exciton polaritons in microcavities when switching between the linear regime, the polariton lasing, and photon lasing regimes. In the polariton lasing regime the sign of Zeeman splitting changes compared to the linear regime, while in the photon lasing regime the splitting vanishes. We additionally observe an increase of the diamagnetic shift in the polariton lasing regime. These effects are explained in terms of the nonequilibrium “spin Meissner effect.”