Following the rising interest in quantum information science, the extension of a heat engine to the quantum regime by exploring microscopic quantum systems has seen a boon of interest in the last decade. Although quantum coherence in the quantum system of the working medium has been investigated to play a nontrivial role, a complete understanding of the intrinsic quantum advantage of quantum heat engines remains elusive. We experimentally demonstrate that the quantum correlation between the working medium and the thermal bath is critical for the quantum advantage of a quantum Szilárd engine, where quantum coherence in the working medium is naturally excluded. By quantifying the nonclassical correlation through quantum steering, we reveal that the heat engine is quantum when the demon can truly steer the working medium. The average work obtained by taking different ways of work extraction on the working medium can be used to verify the real quantum Szilárd engine.