In this paper, we establish a general relation which directly links the dissipated work done on a system driven arbitrarily far from equilibrium, a fundamental quantity in thermodynamics, and the family of Rényi divergences between two states along the forward and reversed dynamics, a fundamental concept in information theory. Specifically, we find that the generating function of the dissipated work under an arbitrary time-dependent driving is related to the family of Rényi divergences between a non-equilibrium state along the forward process and a non-equilibrium state along its time-reversed process. This relation is a consequence of the principle of conservation of information and time reversal symmetry and is universally applicable to both finite classical system and finite quantum system under arbitrary driving process. The significance of the relation between the generating function of dissipated work and the family of Rényi divergences are two fold. On the one hand, the relation establishes that the macroscopic entropy production and its fluctuations are determined by the family of Rényi divergences, a measure of distinguishability of two states, between a microscopic process and its time reversal. On the other hand, this relation tells us that we can extract the family of Renyi divergences from the work measurement in a microscopic process. For classical systems the work measurement is straightforward, from which the family of Rényi divergences can be obtained; for quantum systems under time-dependent driving the characteristic function of work distributions can be measured from Ramsey interferences of a single spin, then we can extract the family of Renyi divergences from Ramsey interferences of a single spin.