Recent experimental progress in coupling nanoscale conductors to superconducting microwave cavities has opened up for transport investigations of the deep quantum limit of light-matter interactions, with tunneling electrons strongly coupled to individual cavity photons. We have investigated theoretically the most basic cavity-conductor system with strong, single photon induced non-local transport effects; two spatially separated double quantum dots (DQD:s) resonantly coupled to the fundamental cavity mode. The system, described by a generalized Tavis-Cummings model, is investigated within a quantum master equation formalism, allowing us to account for both the electronic transport properties through the DQD:s as well as the coherent, non-equilibrium cavity photon state. We find sizeable non-locally induced current and current cross-correlations mediated by individual photons. From a full statistical description of the electron transport we further reveal a dynamical channel blockade in one DQD lifted by photon emission due to tunneling through the other DQD. Moreover, large entanglement between the orbital states of electrons in the two DQD:s is found for small DQD-lead temperatures.