We establish a rigorous connection between fundamental resource theories at the quantum scale. Correlations and entanglement constitute indispensable resources for numerous quantum information tasks. However, their establishment comes at the cost of energy, the resource of thermodynamics, and is limited by the initial entropy. Here, the optimal conversion of energy into correlations is investigated. Assuming the presence of a thermal bath, we establish general bounds for arbitrary systems and construct a protocol saturating them. The amount of correlations, quantified by the mutual information, can increase at most linearly with the available energy, and we determine where the linear regime breaks down. We further consider the generation of genuine quantum correlations, focusing on the fundamental constituents of our universe: fermions and bosons. For fermionic modes, we find the optimal entangling protocol. For bosonic modes, we show that while Gaussian operations can be outperformed in creating entanglement, their performance is optimal for high energies.