Immune checkpoint inhibitors (ICIs) have ushered in a new era of cancer therapy; however, ICIs are only effective in selective patients. The efficacy of ICIs is closely related to the tumor microenvironment. Fever for a long time was thought to directly regulate the immune response, and artificial “fever” from hyperthermia modulates the tumor immune microenvironment by providing danger signals with heat shock proteins (HSPs) as well as subsequent activation of immune systems. Encouraging results have been achieved in preclinical studies focused on potential synergetic effects by combining hyperthermia with ICIs. In this review, we summarized a cluster of immune-related factors that not only make hyperthermia a treatment capable of defending against cancer but also make hyperthermia a reliable treatment that creates a type I-like tumor microenvironment (overexpression of PD-L1 and enrichment of tumor infiltrating lymphocytes) in complementary for the enhancement of the ICIs. Then we reviewed recent preclinical data of the combination regimens involving hyperthermia and ICIs that demonstrated the combined efficacy and illustrated possible approaches to further boost the effectiveness of this combination.