Plasmonic structures are renowned for their capability to efficiently convert light into heat at the nanoscale. However, despite the possibility to generate deep sub‐wavelength electromagnetic hot spots, the formation of extremely localized thermal hot spots is an open challenge of research, simply because of the diffusive spread of heat along the whole metallic nanostructure. Here this challenge is tackled by exploiting single gold nanocones. It is theoretically shown how these structures can indeed realize extremely high temperature gradients within the metal, leading to deep sub‐wavelength thermal hot spots, owing to their capability of concentrating light at the apex under resonant conditions even under continuous wave illumination. A 3D finite element method model is employed to study the electromagnetic field in the structure and subsequent thermoplasmonic behavior, in terms of the 3D temperature distribution. How the latter is affected by nanocone size, shape, and composition of the surrounding environment is shown. Finally, the use of photoinduced temperature gradients in nanocones is anticipated for applications in optofluidics and thermoelectrics or for thermally induced nanofabrication.