The First Law You can't win, you can only break even. You can't make something out of nothing.
Energy is conserved.
Entropy is a conserved quantity and must be 0 over a cycle. Engines that produce work must waste some heat by dumping it to a low temperature reservoir to balance entropy over the cycle. Heat flows naturally from hot to cold. There is a dissymmetry with respect to converting heat into work and work into heat. The entropy of the universe is increasing for natural spontaneous processes.