We reported the photothermal studies on the PEGylated Fe3O4 nanoparticles. In our study, we prepared a series of PEGylated Fe3O4 nanoparticles with different formulations and found that all the PEGylated Fe3O4 nanoparticles have both the photothermal conversion effect and magnetic hyperthermia. We first tried to illustrate the importance of photothermal effect and magnetic heating in the hyperthermia of Fe3O4 nanoparticles, and describe the relationship between the structures and functions. Among these samples, there were two different structures. One is a similar colloidal nanostructure, while the other is a typical nanoparticle structure. Both of them have the similar ultraviolet-visible absorption spectra, Fourier transform infrared spectra and X-ray diffraction patterns. However, the second nanoparticles have higher photothermal conversion efficiency and magnetic resonance imaging contrast than the first colloidal nanostructures. Moreover, by transmission electron microscopy, we found that when the core diameter was in the range of 19–20 nm, the temperature change was above 28 C by photothermal effect, while the magnetic heating was low. All these results not only help us have more comprehensive understanding of Fe3O4 nanoparticle properties, but also provide a rational theoretical support for applying Fe3O4 nanoparticles as a suitable candidate in the photothermal treatment.