We consider open quantum systems weakly coupled to thermal reservoirs and subjected to quantum feedback operations triggered with or without delay by monitored quantum jumps. We establish a thermodynamic description of such systems and analyze how the first and second law of thermodynamics are modified by the feedback. We apply our formalism to study the efficiency of a qubit subjected to a quantum feedback control and operating as a heat pump between two reservoirs. We also demonstrate that quantum feedbacks can be used to stabilize coherences in nonequilibrium stationary states which in some cases may even become pure quantum states.