Abstract We study the thermodynamic properties induced by non-reciprocal interactions between stochastic degrees of freedom in time- and space-continuous systems. We show that, under fairly general conditions, non-reciprocal coupling alone implies a steady energy flow through the system, i.e., non-equilibrium. Projecting out the non-reciprocally coupled degrees of freedom renders non-Markovian, one-variable Langevin descriptions with complex types of memory, for which we find a generalized second law involving information flow. We demonstrate that non-reciprocal linear interactions can be used to engineer non-monotonic memory, which is typical for, e.g., time-delayed feedback control, and is automatically accompanied with a nonzero information flow through the system. Furthermore, already a single non-reciprocally coupled degree of freedom can extract energy from a single heat bath (at isothermal conditions), and can thus be viewed as a minimal version of a time-continuous, autonomous ‘Maxwell demon’. We also show that for appropriate parameter settings, the non-reciprocal system has characteristic features of active matter, such as a positive energy input on the level of the fluctuating trajectories without global particle transport.