The activation of magnetic nanoparticles in hyperthermia treatment by an external alternating magnetic field is a promising technique for targeted cancer therapy. The external alternating magnetic field generates heat in the tumor area, which is utilized to kill cancerous cells. Depending on the tumor type and site to be targeted, various types of magnetic nanoparticles, with variable coating materials of different shape and surface charge, have been developed. The tunable physical and chemical properties of magnetic nanoparticles enhance their heating efficiency. Moreover, heating efficiency is directly related with the product values of the applied magnetic field and frequency. Protein corona formation is another important parameter affecting the heating efficiency of MNPs in magnetic hyperthermia. This review provides the basics of magnetic hyperthermia, mechanisms of heat losses, thermal doses for hyperthermia therapy, and strategies to improve heating efficiency. The purpose of this review is to build a bridge between the synthesis/coating of magnetic nanoparticles and their practical application in magnetic hyperthermia.