Hyperthermia is a cancer treatment where tumor tissue is heated to around 40 °C. Hyperthermia shows both cancer cell cytotoxicity and immune response stimulation via immune cell activation. Immunogenic responses encompass the innate and adaptive immune systems, involving the activation of macrophages, natural killer cells, dendritic cells, and T cells. Moreover, hyperthermia is commonly used in combination with different treatment modalities, such as radiotherapy and chemotherapy, for better clinical outcomes. In this review, we will focus on hyperthermia-induced immunogenic effects and molecular events to improve radiotherapy efficacy. The beneficial potential of integrating radiotherapy with hyperthermia is also discussed.