The synergy between directed chemotherapy and thermal therapy (both magnetic hyperthermia and photothermia) mediated by a nanoassembly composed of functionalized biomimetic magnetic nanoparticles (BMNPs) with the chemotherapeutic drug doxorubicin (DOXO) covered by the polymer poly(lactic-co-glycolic acid) (PLGA), decorated with TAT peptide (here referred to as TAT–PLGA(DOXO-BMNPs)) is explored in the present study. The rationale behind this nanoassembly lies in an optimization of the nanoformulation DOXO-BMNPs, already demonstrated to be more efficient against tumor cells, both in vitro and in vivo, than systemic traditional therapies. By embedding DOXO-BMNPs into PLGA, which is further functionalized with the cell-penetrating TAT peptide, the resulting nanoassembly is able to mediate drug transport (using DOXO as a drug model) and behaves as a hyperthermic agent (induced by an alternating magnetic field (AMF) or by laser irradiation with a laser power density of 2 W/cm2). Our results obtained using the HepG2 cell line show that there is a synergy between chemotherapy and thermal therapy that results in a stronger cytotoxic effect when compared to that caused by the soluble DOXO. This is probably due to the enhanced DOXO release occurring upon the application of the thermal therapy, as well as the induced local temperature rise mediated by BMNPs in the nanoassembly following exposition to AMF or to near-infrared (NIR) laser irradiation. These results represent a proof of concept demonstrating that TAT–PLGA(DOXO-BMNPs) can be used to efficiently combine therapies against tumor cells, which is a step forward in the transition from systemic to local treatments.