Chaos presents a striking and fascinating phenomenon of nonlinear systems. A common aspect of such systems is the presence of feedback that couples the output signal partially back to the input. Feedback coupling can be well controlled in optoelectronic devices such as conventional semiconductor lasers that provide bench-top platforms for the study of chaotic behaviour and high bit rate random number generation. Here we experimentally demonstrate that chaos can be observed for quantum-dot microlasers operating close to the quantum limit at nW output powers. Applying self-feedback to a quantum-dot microlaser results in a dramatic change in the photon statistics wherein strong, super-thermal photon bunching is indicative of random-intensity fluctuations associated with the spiked emission of light. Our experiments reveal that gain competition of few quantum dots in the active layer enhances the influence of self-feedback and will open up new avenues for the study of chaos in quantum systems.