Despite significant advancements in the development of novel therapies, cancer continues to stand as a prominent global cause of death. In many cases, the cornerstone of standard-of-care therapy consists of chemotherapy (CT), radiotherapy (RT), or a combination of both. Notably, hyperthermia (HT), which has been in clinical use in the last four decades, has proven to enhance the effectiveness of CT and RT, owing to its recognized potency as a sensitizer. Furthermore, HT exerts effects on all steps of the cancer–immunity cycle and exerts a significant impact on key oncogenic pathways. Most recently, there has been a noticeable expansion of cancer research related to treatment options involving immunotherapy (IT) and targeted therapy (TT), a trend also visible in the research and development pipelines of pharmaceutical companies. However, the potential results arising from the combination of these innovative therapeutic approaches with HT remain largely unexplored. Therefore, this review aims to explore the oncology pipelines of major pharmaceutical companies, with the primary objective of identifying the principal targets of forthcoming therapies that have the potential to be advantageous for patients by specifically targeting molecular pathways involved in HT. The ultimate goal of this review is to pave the way for future research initiatives and clinical trials that harness the synergy between emerging IT and TT medications when used in conjunction with HT.