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How should one define thermodynamic quantities (internal energy, work, heat, etc.) for quantum systems coupled to their environments strongly? We examine three (classically equivalent) definitions of a quantum system's internal energy under strong-coupling conditions. Each internal-energy definition implies a definition of work and a definition of heat. Our study focuses on quenches, common processes in which the Hamiltonian changes abruptly. In these processes, the first law of thermodynamics holds for each set of definitions by construction. However, we prove that only two sets obey the second law. We illustrate our findings using a simple spin model. Our results guide studies of thermodynamic quantities in strongly coupled quantum systems.