Many different nanostructures have been developed for biomedical applications to date. Among them, iron oxide nanoparticles have been very prominent in MRI in diagnostic radiology. Nowadays, nanoparticle-based therapeutic applications have gained increased interest, leading to the development of a great variety of different and, in parts, sophisticated nanoparticle formulations. Whereas nanotherapy has been confined to the preclinical phase, magnetic hyperthermia has entered into the clinical phase via controlled studies in patients. Owing to the versatility of nanoparticles, researchers envision the combination of multiple modalities (e.g., targeting, diagnostics and therapy) to one carrier. Nevertheless, such approaches have been challenging due to the necessity of the adaptation of at least partially counteracting parameters between the different modalities, which will be analyzed in this review.