Magnetic hyperthermia (MHT) uses magnetic iron oxide nanoparticles (MIONs) to irradiate heat when subjected to an alternating magnetic field (AMF), which then trigger a series of biological effects to realize rapid tumor-killing effects. With the deepening in research, MHT has also shown significant potential in achieving antitumor immunity. On the other hand, immunotherapy in cancer treatment has gained increasing attention over recent years and excellent results have generally been reported. Using MHT to activate antitumor immunity and clarifying its synergistic mechanism, i. e., immunogenic cell death (ICD) and immunosuppressive tumor microenvironment (TME) reversal, can achieve a synergistically enhanced therapeutic effect on primary tumors and metastatic lesions, and this can prevent cancer recurrence and metastasis, which thus prolong survival. In this review, we discussed the role of MHT when utilized alone and combining MHT with other treatments (such as radiotherapy, photodynamic therapy, and immune checkpoint blockers) in the process of tumor immunotherapy, including antigen release, dendritic cells (DCs) maturation, and activation of CD8 cytotoxic T lymphocytes. Finally, the challenges and future development of current MHT and immunotherapy are discussed.