Local tumour hyperthermia for cancer treatment is currently used either for ablation purposes as an alternative to surgery or less frequently, in combination with chemotherapy and/or radiation therapy to enhance the effects of those traditional therapies. As it has become apparent that activating the immune system is crucial to successfully treat metastatic cancer, the potential of boosting anti-tumour immunity by heating tumours has become a growing area of cancer research. After reviewing the history of hyperthermia therapy for cancer and introducing methods for inducing local hyperthermia, this review describes different mechanisms by which heating tumours can elicit anti-tumour immune responses, including tumour cell damage, tumour surface molecule changes, heat shock proteins, exosomes, direct effects on immune cells, and changes in the tumour vasculature. We then go over in vivo studies that provide promising results showing that local hyperthermia therapy indeed activates various systemic anti-tumour immune responses that slow growth of untreated tumours. Finally, future research questions that will help bring the use of local hyperthermia as systemic immunotherapy closer to clinical application are discussed.