The applicability of RHT in the treatment and supportive care of tumors has been discussed for years in many publications. There are hundreds of articles that have reported on the good acceptance and feasibility of HT, as well as its value in terms of controlling malignant diseases, enhancing response and, in some randomized controlled trials (RCTs), clear improvements in OS. Despite this, HT has never fully been accepted as a standard treatment among radiation and medical oncologists. The increased activity that HT offers in the context of chemotherapy (CHT), radiotherapy (RT), chemoradiotherapy (CRT), and immunotherapy, thus facilitating programmed cell death (PCD), has been documented in many studies. This aspect has been demonstrated in many tumors, including soft tissue sarcoma, cancers of the cervix, esophagus, stomach, colon/rectum, pancreas, breast, head and neck, and prostate, and bone metastases. HT improves cancer cell death through many modalities, targeting both the tumor microenvironment (TME) and the cancer cells directly. Targeted HT increases the temperature of the primary tumor and surrounding tissues to 39–43 °C, causing the tumor cells to become more immune-responsive. HT can also activate the immune response of the TME through inducing heat shock proteins (HSPs), which also promote an immunological response and PCD. HT can oxygenate hypoxic tumors, facilitating RT-induced DNA damage in cancer cells. At present, it seems that the combination of HT and RT, CHT, and immunotherapy might lead to immune enhancement effects in the TME, making cancer cells more responsive to immunotherapies. This narrative review presents the novel aspects of HT reported in recent years.