Maxwell's Demon is at the heart of the interrelation between quantum information processing and thermodynamics. In this thought experiment, a demon generates a temperature gradient between two thermal baths initially at equilibrium by gaining information at the single-particle level and applying classical feed-forward operations, allowing for the extraction of work. Here we implement a photonic version of Maxwell's Demon with active feed-forward in a fibre-based system using ultrafast optical switches. We experimentally show that, if correlations exist between the two thermal baths, the Demon can generate a temperature difference over an order of magnitude larger than without correlations, and so extract more work. Our work demonstrates the great potential of photonic experiments -- which provide a unique degree of control on the system -- to access new regimes in quantum thermodynamics.