The targeted delivery of nanomedicines into solid tumors remains challenging in cancer treatment. Stem cells with tumortropic migration ability are promising as biocarriers to transport nanomedicines. The transportation of nanomedicines into cancer cells is the key step for tumor targeted delivery via stem cells. In this study, we designed a magnetic nanocube (scMNP) loaded in mesenchymal stem cells for magnetic hyperthermia of prostate cancer, and the delivery and transportation pathways into the cancer cells were fully investigated. The MSCs acted as the carrier of the loaded scMNPs along with the upregulation of CXCR4 for the migration to cancer cells. The therapeutic effect was mainly due to scMNPs via magnetic hyperthermia. Stem cell-derived microvesicles containing scMNPs played an essential role in the crosstalk between stem cells and cancer cells for targeted delivery. Both in vitro and in vivo studies demonstrated that the system showed satisfactory therapeutic efficiency under magnetic hyperthermia therapy. Our investigation presents a comprehensive study of magnetic nanoparticles in combination with MSCs and their extracellular microvesicles and is promising as an effective strategy for magnetic hyperthermia therapy of prostate cancer.