Materials for the treatment of cancer have been studied comprehensively over the past few decades. Among the various kinds of biomaterials, polymer-based nanomaterials represent one of the most interesting research directions in nanomedicine because their controlled synthesis and tailored designs make it possible to obtain nanostructures with biomimetic features and outstanding biocompatibility. Understanding the chemical and physical mechanisms behind the cascading stimuli-responsiveness of smart polymers is fundamental for the design of multifunctional nanomaterials to be used as photothermal agents for targeted polytherapy. In this review, we offer an in-depth overview of the recent advances in polymer nanomaterials for photothermal therapy, describing the features of three different types of polymer-based nanomaterials. In each case, we systematically show the relevant benefits, highlighting the strategies for developing light-controlled multifunctional nanoplatforms that are responsive in a cascade manner and addressing the open issues by means of an inclusive state-of-the-art review. Moreover, we face further challenges and provide new perspectives for future strategies for developing novel polymeric nanomaterials for photothermally assisted therapies.