Fe3O4 nanocrystals are self‐assembled into two different conformations: colloidosome and supraball that confer them with distinct properties determining their photo‐induced heating capacities. These self‐assemblies are assessed for photothermal therapy, an adjuvant strategy for tumor therapy. The tumor microenvironment is a heterogeneous ecosystem including immune cells and the extracellular matrix. The interactions between photothermal therapy agents and the different components of the tumor microenvironment determine the outcome of this therapy. In this study, the fate of both colloidosomes and supraballs within the tumor microenvironment in comparison to their Fe3O4 nanocrystal building blocks is revealed. This study highlights how these two hybrid self‐assemblies target different compartments of the tumor microenvironment and trigger local photothermal damages that are inaccessible for isolated nanocrystals and not predicted by global temperature measurements.