The heating power of magnetic nanoparticles (MNPs) submitted to high-frequency magnetic fields is generally probed using calorimetric methods, which suppose that the heating power does not evolve with time. Among the several parameters governing MNP heating properties, their organization into chains under the influence of the applied magnetic field is of key importance, though the dynamic of this phenomenon has been rarely studied experimentally. In the present article, time-resolved high-frequency hysteresis loops are used to probe the dynamics of chain formation on a sample of 17.3 ± 2.2 nm FeNi3 MNPs. Chains are formed on a timescale, which strongly depends on the magnetic field amplitude, ranging from several tens of seconds to less than 100 ms, but does not depend on frequency in the range studied here (from 9 to 78 kHz). Both the heating power and hysteresis loop squareness increase with time as chains progressively form. These findings have important methodological consequences when defining protocols or analyzing data issued from calorimetric measurements since, in samples where chains form, the heating power varies on a time scale that can be comparable to typical measurement times.