Photothermal therapy is a kind of therapy based on increasing the temperature of tumoral cells above 42 C. To this aim, cells must be illuminated with a laser, and the energy of the radiation is transformed in heat. Usually, the employed radiation belongs to the near-infrared radiation range. At this range, the absorption and scattering of the radiation by the body is minimal. Thus, tissues are almost transparent. To improve the efficacy and selectivity of the energy-to-heat transduction, a light-absorbing material, the photothermal agent, must be introduced into the tumor. At present, a vast array of compounds are available as photothermal agents. Among the substances used as photothermal agents, gold-based compounds are one of the most employed. However, the undefined toxicity of this metal hinders their clinical investigations in the long run. Magnetic nanoparticles are a good alternative for use as a photothermal agent in the treatment of tumors. Such nanoparticles, especially those formed by iron oxides, can be used in combination with other substances or used themselves as photothermal agents. The combination of magnetic nanoparticles with other photothermal agents adds more capabilities to the therapeutic system: the nanoparticles can be directed magnetically to the site of interest (the tumor) and their distribution in tumors and other organs can be imaged. When used alone, magnetic nanoparticles present, in theory, an important limitation: their molar absorption coefficient in the near infrared region is low. The controlled clustering of the nanoparticles can solve this drawback. In such conditions, the absorption of the indicated radiation is higher and the conversion of energy in heat is more efficient than in individual nanoparticles. On the other hand, it can be designed as a therapeutic system, in which the heat generated by magnetic nanoparticles after irradiation with infrared light can release a drug attached to the nanoparticles in a controlled manner. This form of targeted drug delivery seems to be a promising tool of chemo-phototherapy. Finally, the heating efficiency of iron oxide nanoparticles can be increased if the infrared radiation is combined with an alternating magnetic field.