Superparamagnetic iron oxide nanoparticles (SPIONs) have attracted attention in the biomedical field thanks to their ability to prompt hyperthermia in response to an alternated magnetic field. Hyperthermia is well known for inducing cell death, in particular in tumour cells, which seem to have a higher sensitivity to temperature increases. For this reason, hyperthermia has been recommended as a therapeutic tool against cancer. Despite the potentialities of this approach, little is still known about the effects provoked by magnetic hyperthermia at the molecular level, and about the particular cell death mechanisms that are activated. Nevertheless, in-depth knowledge of this aspect would allow improvement of therapeutic outcomes and favour clinical translation. Moreover, in the last few decades, a lot of effort has been put into finding an effective delivery strategy that could improve SPION biodistribution and localisation at the action site. The aim of this review is to provide a general outline of magnetic hyperthermia, focusing on iron oxide nanoparticles and their interactions with magnetic fields, as well as on new strategies to efficiently deliver them to the target site, and on recent and studies proposing possible cell death pathways activated by the treatment. We will also cover their current clinical status, and discuss the contributions of omics in understanding molecular interactions between iron oxide nanoparticles and the biological environment.