Thermodynamic entropy, as defined by Clausius, characterizes macroscopic observations of a system based on phenomenological quantities such as temperature and heat. In contrast, information-theoretic entropy, introduced by Shannon, is a measure of uncertainty. In this Letter, we connect these two notions of entropy, using an axiomatic framework for thermodynamics [E. H. Lieb and J. Yngvason Proc. R. Soc. 469, 20130408 (2013)]. In particular, we obtain a direct relation between the Clausius entropy and the Shannon entropy, or its generalization to quantum systems, the von Neumann entropy. More generally, we find that entropy measures relevant in nonequilibrium thermodynamics correspond to entropies used in one-shot information theory.