Photothermal cancer therapy has attracted plenty of attention in the last decades due to its promising efficacy, spatiotemporal control, negligible drug resistance, etc. However, to achieve widespread clinical application, the enhancement of curative effect and the minimization of side effect still need be concerned about in the field of photothermal therapy. Host-guest assemblies, constructed by the inclusion of small molecular guests into macrocyclic hosts through non-covalent interactions, are featured with unique microenvironment and flexible, dynamic nature. On the basis of the abovementioned advantages, host-guest assemblies show great potential in photothermal therapy. However, to the best of our knowledge, the endeavors of host-guest assemblies-based photothermal therapy have not been systematically discussed. Hence, to benefit the design of advanced host-guest assembly-based photothermal agents and promote the development of photothermal therapy, in this review, the major achievements of host-guest assemblies in photothermal cancer therapy, including the enhancement of photothermal conversion efficiency, the improvement of targeted distribution in tumor site, and the superiority of constructing photothermal therapy-derived multimodal synergistic therapy, are discussed. In addition, the future perspectives on host-guest assemblies-based photothermal therapy are outlined.