Multifunctional nano-objects containing a magnetic heater and a temperature emissive sensor in the same nanoparticle have recently emerged as promising tools towards personalized nanomedicine permitting hyperthermia-assisted treatment under local temperature control. However, a fine control of nano-systems’ morphology permitting the synthesis of a single magnetic core with controlled position of the sensor presents a main challenge. We report here the design of new iron oxide core–silica shell nano-objects containing luminescent Tb3+/Eu3+-(acetylacetonate) moieties covalently anchored to the silica surface, which act as a promising heater/thermometer system. They present a single magnetic core and a controlled thickness of the silica shell, permitting a uniform spatial distribution of the emissive nanothermometer relative to the heat source. These nanoparticles exhibit the Tb3+ and Eu3+ characteristic emissions and suitable magnetic properties that make them efficient as a nanoheater with a Ln3+-based emissive self-referencing temperature sensor covalently coupled to it. Heating capacity under an alternating current magnetic field was demonstrated by thermal imaging. This system offers a new strategy permitting a rapid heating of a solution under an applied magnetic field and a local self-referencing temperature sensing with excellent thermal sensitivity (1.64%·K−1 (at 40 °C)) in the range 25–70 °C, good photostability, and reproducibility after several heating cycles.