Quantum steering allows two parties to verify shared entanglement even if one measurement device is untrusted. A conclusive demonstration of steering through the violation of a steering inequality is of considerable fundamental interest and opens up applications in quantum communication. To date, all experimental tests with single-photon states have relied on post selection, allowing untrusted devices to cheat by hiding unfavourable events in losses. Here we close this 'detection loophole' by combining a highly efficient source of entangled photon pairs with superconducting transition-edge sensors. We achieve an unprecedented ~62% conditional detection efficiency of entangled photons and violate a steering inequality with the minimal number of measurement settings by 48 s.d.s. Our results provide a clear path to practical applications of steering and to a photonic loophole-free Bell test.