We demonstrate the emergence of universal Efimov physics for interacting photons in cold gases of Rydberg atoms. We consider the behavior of three photons injected into the gas in their propagating frame, where a paraxial approximation allows us to consider them as massive particles. In contrast to atoms and nuclei, the photons have a large anisotropy between their longitudinal mass, arising from dispersion, and their transverse mass, arising from diffraction. Nevertheless, we show that, in suitably rescaled coordinates, the effective interactions become dominated by s-wave scattering near threshold and, as a result, give rise to an Efimov effect near unitarity. We show that the three-body loss of these Efimov trimers can be strongly suppressed and determine conditions under which these states are observable in current experiments. These effects can be naturally extended to probe few-body universality beyond three bodies, as well as the role of Efimov physics in the nonequilibrium, many-body regime.