Progress in the nanotechnology field has led to the development of a new class of materials capable of producing a temperature increase triggered by near infrared light. These photothermal nanostructures have been extensively explored in the ablation of cancer cells. Nevertheless, the available data in the literature have exposed that systemically administered nanomaterials have a poor tumor-homing capacity, hindering their full therapeutic potential. This paradigm shift has propelled the development of new injectable hydrogels for the local delivery of nanomaterials aimed at cancer photothermal therapy. These hydrogels can be assembled at the tumor site after injection (in situ forming) or can undergo a gel-sol-gel transition during injection (shear-thinning/self-healing). Besides incorporating photothermal nanostructures, these injectable hydrogels can also incorporate or be combined with other agents, paving the way for an improved therapeutic outcome. This review analyses the application of injectable hydrogels for the local delivery of nanomaterials aimed at cancer photothermal therapy as well as their combination with photodynamic-, chemo-, immuno- and radio-therapies.