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Achieving ultimate bounds in estimation processes is the main objective of quantum metrology. In this context, several problems require measurement of multiple parameters by employing only a limited amount of resources. To this end, adaptive protocols, exploiting additional control parameters, provide a tool to optimize the performance of a quantum sensor to work in such limited data regime. Finding the optimal strategies to tune the control parameters during the estimation process is a non-trivial problem, and machine learning techniques are a natural solution to address such task. Here, we investigate and implement experimentally for the first time an adaptive Bayesian multiparameter estimation technique tailored to reach optimal performances with very limited data. We employ a compact and flexible integrated photonic circuit, fabricated by femtosecond laser writing, which allows to implement different strategies with high degree of control. The obtained results show that adaptive strategies can become a viable approach for realistic sensors working with a limited amount of resources.