We present an experimental realization of an autonomous Maxwell's demon, which extracts microscopic information from a system and reduces its entropy by applying feedback. It is based on two capacitively coupled single-electron devices, both integrated on the same electronic circuit. This setup allows a detailed analysis of the thermodynamics of both the demon and the system as well as their mutual information exchange. The operation of the demon is directly observed as a temperature drop in the system. We also observe a simultaneous temperature rise in the demon arising from the thermodynamic cost of generating the mutual information.