Composites of magnetite nanoparticles encapsulated with polymers attract interest for many applications, especially as theragnostic agents for magnetic hyperthermia, drug delivery, and magnetic resonance imaging. In this work, magnetite nanoparticles were synthesized by coprecipitation and encapsulated with different polymers (Eudragit S100, Pluronic F68, Maltodextrin, and surfactants) by nano spray drying technique, which can produce powders of nanoparticles from solutions or suspensions. Transmission and scanning electron microscopy images showed that the bare magnetite nanoparticles have 10.5 nm, and after encapsulation, the particles have approximately 1 μm, with size and shape depending on the material’s composition. The values of magnetic saturation by SQUID magnetometry and mass residues by thermogravimetric analysis were used to characterize the magnetic content in the materials, related to their magnetite/polymer ratios. Zero-field-cooling and field-cooling (ZFC/FC) measurements showed how blocking temperatures of the powders of the composites are lower than that of bare magnetite, possibly due to lower magnetic coupling, being an interesting system to study magnetic interactions of nanoparticles. Furthermore, studies of cytotoxic effect, hydrodynamic size, and heating capacity for hyperthermia (according to the application of an alternate magnetic field) show that these composites could be applied as a theragnostic material for a non-invasive administration such as nasal.