The statistical formulation of thermodynamics and its laws cannot be extended to the one-shot finite-size regime, where the systems composed of a small number of quantum particles interact with multiple thermal baths and are restricted to one-shot measurements. Contrary to the traditional understanding, thermodynamics is fundamentally irreversible in this regime. As a consequence, heat engines cannot attain the Carnot efficiency for heat-to-work conversion. Here we overcome this limitation and introduce heat engines that attain the maximum possible Carnot efficiency in the one-shot finite-size regime, where the engines allow the working systems to simultaneously interact with two baths via the semi-local thermal operations and reversibly operate in a one-step cycle. These engines are superior to the traditional ones in work extraction efficiency, and, even, are capable of converting heat into work by exclusively utilizing inter-system correlations.