We study a driven harmonic oscillator operating an Otto cycle by strongly interacting with two thermal baths of finite size. Using the tools of Gaussian quantum mechanics, we directly simulate the dynamics of the engine as a whole, without the need to make any approximations. This allows us to understand the non-equilibrium thermodynamics of the engine not only from the perspective of the working medium, but also as it is seen from the thermal baths' standpoint. For sufficiently large baths, our engine is capable of running a number of perfect cycles, delivering finite power while operating very close to maximal efficiency. Thereafter, having traversed the baths, the perturbations created by the interaction abruptly deteriorate the engine's performance. We additionally study the correlations generated in the system, and, in particular, we find a direct connection between the build up of bathbath correlations and the degradation of the engine's performance over the course of many cycles.