We investigate the fundamental limitations imposed by thermodynamics for creating correlations. Considering a collection of initially uncorrelated thermal quantum systems, we ask how much classical and quantum correlations can be obtained via a cyclic Hamiltonian process. We derive bounds on both the mutual information and entanglement of formation, as a function of the temperature of the systems and the available energy. While for a finite number of systems there is a maximal temperature allowing for the creation of entanglement, we show that genuine multipartite entanglement---the strongest form of entanglement in multipartite systems---can be created at any temperature when sufficiently many systems are considered. This approach may find applications, e.g. in quantum information processing, for physical platforms in which thermodynamic considerations cannot be ignored.