Heating at the nanoscale is the basis of several biomedical applications, including magnetic hyperthermia therapies and heat-triggered drug delivery. The combination of multiple inorganic materials in hybrid magnetic nanoparticles provides versatile platforms to achieve an efficient heat delivery upon different external stimuli or to get an optical feedback during the process. However, the successful design and application of these nanomaterials usually require intricate synthesis routes and their magnetic response is still not fully understood. In this review we give an overview of the novel systems reported in the last few years, which have been mostly obtained by organic phase-based synthesis and epitaxial growth processes. Since the heating efficiency of hybrid magnetic nanoparticles often relies on the exchange-interaction between their components, we discuss various interface-phenomena that are responsible for their magnetic properties. Finally, followed by a brief comment on future directions in the field, we outline recent advances on multifunctional nanoparticles that can boost the heating power with light and combine heating and temperature sensing in a single nanomaterial.