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Magnetic hyperthermia (MH) has evolved from a localized thermal modality into an emerging intracellular immunomodulatory technology for cancer treatment. By employing magnetic nanoparticles (MNPs) to convert alternating magnetic fields into confined intracellular heat, MH enables precise spatial and temporal regulation of cellular stress responses while maintaining favorable biocompatibility and tumor selectivity. This review highlights recent advances that reposition MH as a cell-level immune regulation strategy, focusing on three interconnected aspects: (i) rational design of MNPs to optimize magnetic-to-thermal conversion efficiency and achieve precise intracellular heat transduction; (ii) integration of magnetic field-controlled MH with drug delivery and nano-heating modalities to enable synergistic intracellular regulation; and (iii) mechanistic insights into MH-induced immune modulation, including immunogenic cell death, immune cell activation, and its integration with tumor vaccines and cancer immunotherapy. Collectively, these advances establish MH as a versatile intracellular immunoregulatory platform and underscore its potential for precision cancer immunotherapy.