The past decades have witnessed hyperthermia therapy (HTT) as an emerging strategy against malignant tumors. Nanomaterial‐based photothermal therapy (PTT) and magnetic hyperthermia (MHT), as highly effective and noninvasive treatment models, offer advantages over other strategies in the treatment of different types of tumors. However, both PTT and MHT cannot completely cure cancer due to recurrence and distal metastasis. In recent years, cancer immunotherapy has attracted widespread attention owing to its capability to activate the body's own natural defense to identify, attack, and eradicate cancer cells. Significant efforts have been devoted to studying the activated immune responses caused by hyperthermia‐ablated tumors. In this article, the synergistic mechanism of HTT in immunotherapy, including immunogenic cell death and reversal of the immunosuppressive tumor microenvironment is discussed. The reports of the combination of HTT or HTT‐based multimodal therapy with immunotherapy, including immunoadjuvant exploitation, immune checkpoint blockade therapy, and adoptive cellular immunotherapy are summarized. As highlighted, these strategies could achieve synergistically enhanced therapeutic outcomes against both primary tumors and metastatic lesions, prevent cancer recurrence, and prolong the survival period. Finally, current challenges and prospective developments in HTT‐synergized immunotherapy are also reviewed. Nanomaterial‐based hyperthermia therapy (HTT) including photothermal therapy and magnetic hyperthermia can not only ablate different types of primary tumors, but also sensitize tumors to create a highly immunogenic tumor microenvironment for immunotherapy to further fight against cancer metastasis and recurrence. Hence, such an HTT‐synergized immunotherapy approach offers a powerful method for curing cancer completely.