In this work, we provide a comprehensive set of differential cross-section distributions for photon + di-jet production in proton-proton collisions with next-to-next-to-leading order precision in massless QCD. The event selection corresponds to recent measurements by the ATLAS collaboration. We observe an improved description of data in comparison to lower-order calculations in the case of observables that are expected to be well described by perturbation theory. The results also show better agreement with data than parton-shower-matched and multi-jet-merged predictions generated for the ATLAS analysis using the Sherpa Monte Carlo. A particular highlight of our study is the use of exact five-point two-loop virtual amplitudes. This is the first calculation of a complete two-to-three hadron-collider process at next-to-next-to-leading order in QCD that does not rely on the leading-colour approximation at two loops. We demonstrate, nevertheless, that the sub-leading-colour effects present in the infraredand ultraviolet-finite double-virtual contributions are negligible in view of the remaining scale uncertainties.