In many dynamical systems and complex networks time delays appear naturally in feedback loops or coupling connections of individual elements. Moreover, in a whole class of systems, these delay times can depend on the state of the system. Nevertheless, so far the understanding of the impact of such state-dependent delays remains poor with a particular lack of systematic experimental studies. Here we fill this gap by introducing a conceptually simple photonic system that exhibits dynamics of self-organised switching between two loops with two different delay times, depending on the state of the system. On the basis of experiments and modelling on semiconductor lasers with frequency-selective feedback mirrors, we characterize the switching between the states defined by the individual delays. Our approach opens new perspectives for the study of this class of dynamical systems and enables applications in which the self-organized switching can be exploited.