The preparation of light pulses with well-defined quantum properties requires precise control at the individual photon level. Here, we demonstrate exact and controlled multi-photon subtraction from incoming light pulses. We employ a cascaded system of tightly confined cold atom ensembles with strong, collectively enhanced coupling of photons to Rydberg states. The excitation blockade resulting from interactions between Rydberg atoms limits photon absorption to one per ensemble and engineered dephasing of the collective excitation suppresses stimulated re-emission of the photon. We experimentally demonstrate subtraction with up to three absorbers. Furthermore, we present a thorough theoretical analysis of our scheme where we identify weak Raman decay of the long-lived Rydberg state as the main source of infidelity in the subtracted photon number. We show that our scheme should scale well to higher absorber numbers if the Raman decay can be further suppressed.