Stochastic processes underlie a vast range of natural and social phenomena [1,2]. Some processes such as atomic decay feature intrinsic randomness, whereas other complex processes, e.g. traffic congestion, are effectively probabilistic because we cannot track all relevant variables. To simulate a stochastic system's future behaviour, information about its past must be stored [3,4]and thus memory is a key resource. Quantum information processing promises a memory advantage for stochastic simulation [5][6][7][8][9][10][11][12][13][14][15] that has been validated in recent proof-of-concept experiments [16,17]. Yet, in all past works, the memory saving would only become accessible in the limit of a large number of parallel simulations [6,18], because the memory registers of individual quantum simulators had the same dimensionality as their classical counterparts. Here, we report the first experimental demonstration that a quantum stochastic simulator can encode the relevant information in fewer dimensions than any classical simulator, thereby achieving a quantum memory advantage even for an individual simulator. Our photonic experiment thus establishes the potential of a new, practical resource saving in the simulation of complex systems.