We report on several specific student difficulties regarding the second law of thermodynamics in the context of heat engines within upper-division undergraduate thermal physics courses. Data come from ungraded written surveys, graded homework assignments, and videotaped classroom observations of tutorial activities. Written data show that students in these courses do not clearly articulate the connection between the Carnot cycle and the second law after lecture instruction. This result is consistent both within and across student populations. Observation data provide evidence for myriad difficulties related to entropy and heat engines, including students' struggles in reasoning about situations that are physically impossible and failures to differentiate between differential and net changes of state properties of a system. Results herein may be seen as the application of previously documented difficulties in the context of heat engines, but others are novel and emphasize the subtle and complex nature of cyclic processes and heat engines, which are central to the teaching and learning of thermodynamics and its applications. Moreover, the sophistication of these difficulties is indicative of the more advanced thinking required of students at the upper division, whose developing knowledge and understanding give rise to questions and struggles that are inaccessible to novices. [This paper is part of the Focused Collection on Upper Division Physics Courses.]