The thermal and optical properties of aqueous dispersions of magnetite nanoparticles were studied by dual-beam thermal-lens spectrometry. Surface-modified magnetite nanoparticles with an average crystal size of 7.5 nm were synthesized by a simple, one-stage method of coprecipitation followed by surface functionalization. For this purpose, the most popular and promising modifiers based on surfactants, polyelectrolytes, biopolymers and organic acids were used. The effect of the concentration of nanoparticles (in the range from 0.01 to 5 mg/L) and the nature of the surface modifier on the thermal diffusivity of the dispersion was studied. It was found that at concentrations of 0.4–0.6 mg/L, the dispersions exhibit heat-accumulating properties, which may be promising in the development of a magnetically controlled heat-conducting liquid. Thermal lens spectrometry in the steady-state measurement mode was used to reveal the processes of deposition and adsorption of magnetite nanoparticles on the surface of a quartz cell, leading to an apparent increase in thermal diffusivity by more than 30%. The paper touches upon the issues of accuracy and precision of temperature diffusion measurements, processing, and presentation of measurement results of time-resolved transient and steady-state signals for dispersed systems. The ratio of the change in the steady-state thermal-lens signals to the change in concentration regarding the concentration (dϑ/dc vs. c) provides a way to identify a systematic error at a low level (less than 5%) of thermal-lens measurements caused by a high concentration (or optical absorption) of the object. Various options for signal normalization (in terms of power, absorbance, and pure-solvent signal) are considered, and their advantages and disadvantages are discussed. An approach to using thermal diffusivity as a function of the steady-state signal of the sample is proposed. This approach allows for a comparative thermal-lens analysis of objects with different optical and thermal properties.