The treatment of tumors via hyperthermia has gained increased attention in the last years. Among the different modalities available so far, magnetic hyperthermia has the particular advantage of offering the possibility of depositing the heating source directly into the tumor. In this study, we summarized the present knowledge we gained on how to improve the therapeutic efficiency of magnetic hyperthermia using magnetic nanoparticles (MNPs), with particular consideration of the intratumoral infiltration of the magnetic material. We found that (1) MNPs will be mainly immobilized at the tumor area and that this aspect has to be considered when estimating the heating potential of MNPs, (2) the intratumoral distribution patterns via slow infiltration might well be modulated by specific MNP coating and magnetic targeting, (3) imaging of the nanoparticle depositions within the tumor might allow to correct the distribution pattern via multiple applications, (4) multiple therapeutic sessions are feasible because MNPs are not delivered from the tumor site during the heating process, (5) the utilization of MNPs that internalize into cells will favor the production of intracellular heating spots rather than extracellular ones, (6) utilization of MNPs functionalized with chemotherapeutic agents will allow us to exploit the additive effects of both therapeutic modalities, and (7) distinct cytopathological and histopathological alterations in target tissues are induced as a result of magnetic hyperthermia. However, the accumulation at the tumor via intravenous application remains a matter of challenge.