Feedback control mechanisms are ubiquitous in science and technology, and play an essential role in regulating physical, biological and engineering systems. The standard second law of thermodynamics does not hold in the presence of measurement and feedback. Most studies so far have extended the second law for discrete, Markovian feedback protocols; however, non-Markovian feedback is omnipresent in processes where the control signal is applied with a non-negligible delay. Here, scientists experimentally investigate the thermodynamics of continuous, time-delayed feedback control using the motion of an optically levitated, underdamped microparticle. Its test the validity of a generalized second law which bounds the energy extracted from the system, and study the breakdown of feedback cooling for very large time delays.