Heat shock proteins (HSPs) are highly conserved proteins whose syntheses are induced by a variety of stresses, including heat stress. Since the expression of HSPs, including HSP70, protects cells from heat-induced apoptosis, HSP expression has been considered to be a complicating factor in hyperthermia. On the other hand, recent reports have shown the importance of HSPs, such as HSP70, HSP90 and glucose-regulated protein 96 (gp96), in immune reactions. If HSP expression induced by hyperthermia is involved in tumor immunity, novel cancer immunotherapy based on this novel concept can be developed. In such a strategy, a tumor-specific hyperthermia system, which can heat the local tumor region to the intended temperature without damaging normal tissue, would be highly advantageous. To achieve tumor-specific hyperthermia, we have developed an intracellular hyperthermia system using magnetite nanoparticles. This novel hyperthermia system can induce necrotic cell death via HSP expression, which induces antitumor immunity. In the present article, cancer immunology and immunotherapy based on hyperthermia, and HSP expression are reviewed and discussed.