Magnetic hyperthermia (MH) utilizes magnetic iron oxide nanomaterials (MIONs) to generate nano-scale heat and boost reactive oxygen species production within cells exposed to an external alternating magnetic field. Unlike conventional thermal ablation therapies that produce heat on a macro-scale, MIONs act as point source of heat inside cells, which enables MIONs-mediated MH to modulate cellular functions and fate with precision in real-time. With key benefits such as deep tissue penetration and the ability to regulate processes in a temporal-spatial and quantifiable manner, MH is now emerging as a new cancer therapy. Most intriguing is the apparent ability for MH to alter specific biological pathways associated with an anti-tumor immune response. Research efforts are now accelerating to render MH applicable to the clinical setting, with the objective of supporting the treatment of common cancers such as hepatocellular carcinoma (HCC). In this perspective paper, we highlight the recent progress made in MH, with a particular focus on its ability to manipulate anti-tumor immune mechanisms and the therapeutic advantages demonstrated thus far for HCC. We explore the current challenges in this field, and provide our perspective on the outlook for MH and its role in cancer treatment.