© 2016 American Physical Society. A fundamental connection between thermodynamics and information theory arises from the fact that correlations exhibit an inherent work value. For noninteracting systems this translates to a work cost for establishing correlations. Here we investigate the relationship between work and correlations in the presence of interactions that cannot be controlled or removed. For such naturally coupled systems, which are correlated even in thermal equilibrium, we determine general strategies that can reduce the work cost of correlations, and illustrate these for a selection of exemplary physical systems.