Understanding how sensory systems process information depends crucially on identifying which features of the stimulus drive the response of sensory neurons, and which ones leave their response invariant. This task is made difficult by the many nonlinearities that shape sensory processing. Here, we present a novel perturbative approach to understand information processing by sensory neurons, where we linearize their collective response locally in stimulus space. We added small perturbations to reference stimuli and tested if they triggered visible changes in the responses, adapting their amplitude according to the previous responses with closed-loop experiments. We developed a local linear model that accurately predicts the sensitivity of the neural responses to these perturbations. Applying this approach to the rat retina, we estimated the optimal performance of a neural decoder and showed that the nonlinear sensitivity of the retina is consistent with an efficient encoding of stimulus information. Our approach can be used to characterize experimentally the sensitivity of neural systems to external stimuli locally, quantify experimentally the capacity of neural networks to encode sensory information, and relate their activity to behavior.