Magnetic nanoparticle (MNP) induced magnetic hyperthermia has been demonstrated as a promising technique for the treatment of brain tumor. However, lower heating efficiency resulting from low intratumoral accumulation of magnetic nanomaterials is still one of the significant limitations for their thermotherapeutic efficacy. In this study, we have designed a nanobubble structure with MNPs decorated on the shell, which leads to the improvement of magnetocaloric performance under an alternating magnetic field. First, the phospholipid coupled with MNPs as the shell to be self-assembled magnetic nanobubbles (MNBs) was fabricated by a temperature-regulated repeated compression self-assembly approach. Then, the optimal magnetic heating concentration, electric current parameters for producing the magnetic field, and the number of magnetic heating times were investigated for tuning the better magnetoenergy conversion. Finally, the well-defined geometrical orientation of MNPs on the nanobubble structure enhanced hypothermia effect was investigated. The results demonstrate that the MNBs could promote the endocytosis of magnetic nanoparticles by glioma cells, resulting in better therapeutic effect. Therefore, the controlled assembly of MNPs into well-defined bubble structures could serve as a new hyperthermia agent for tumor therapy.