The use of multifunctional nanoparticles (NPs), usually in the range of 3–100 nm, with their newly discovered properties – such as superparamagnetic (SPM) behaviour, enhancement of activity and selectivity in catalytic processes and localised surface plasmon resonance (LSPR) – offers new technical possibilities for biomedical applications such as magnetic hyperthermia (MH), plasmonic photothermal therapy (PPTT) and enhanced magnetic resonance imaging (MRI). In addition, the small size of NPs presents a unique opportunity to interfere, in a highly localised and specific way, with natural processes involving viruses, bacteria or cells and allows interference in the development of complex diseases like many types of cancer and neuropathies (Alzheimer's, Parkinson's, Kreutzer–Jacobs'). The design of biological applications based on MH is a chemical challenge and core@shell structures are most often used to endow NPs with multifunctional abilities. The success of such MH‐based biological applications depends on the magnetic functionality of the core as well as the properties of the surface shell in direct interaction with the biological medium. In this review we will describe the most important methodologies developed to synthesise magnetic core@shell nanostructures and their MH applications.