Interactions of quantum systems with their environment play a crucial role in resourcetheoretic approaches to thermodynamics in the microscopic regime. Here, we analyze the possible state transitions in the presence of "small" heat baths of bounded dimension and energy. We show that for operations on quantum systems with fully degenerate Hamiltonian (noisy operations), all possible state transitions can be realized exactly with a bath that is of the same size as the system or smaller, which proves a quantum version of Horn's lemma as conjectured by Bengtsson andŻyczkowski. On the other hand, if the system's Hamiltonian is not fully degenerate (thermal operations), we show that some possible transitions can only be performed with a heat bath that is unbounded in size and energy, which is an instance of the third law of thermodynamics. In both cases, we prove that quantum operations yield an advantage over classical ones for any given finite heat bath, by allowing a larger and more physically realistic set of state transitions.Accepted in Quantum 2018-02-07, click title to verify arXiv:1605.06092v4 [quant-ph]