It has been shown that magnetic fields in the extremely low frequency range (ELF-MF) can act as a stressor in various in vivo or in vitro systems, at flux density levels below those inducing excitation of nerve and muscle cells, which are setting the limits used by most generally accepted exposure guidelines, such as the ones published by the International Commission on Non-Ionizing Radiation Protection. In response to a variety of physiological and environmental factors, including heat, cells activate an ancient signaling pathway leading to the transient expression of heat shock proteins (HSPs), which exhibit sophisticated protection mechanisms. A number of studies suggest that also ELF-MF exposure can activate the cellular stress response and cause increased HSPs expression, both on the mRNA and the protein levels. In this review, we provide some of the presently available data on cellular responses, especially regarding HSP expression, due to single and combined exposure to ELF-MF and heat, with the aim to compare the induced effects and to detect possible common modes of action. Some evidence suggest that MF and heat can act as costressors inducing a kind of thermotolerance in cell cultures and in organisms. The MF exposure might produce a potentiated or synergistic biological response such as an increase in HSPs expression, in combination with a well-defined stress, and in turn exert beneficial effects during certain circumstances.