The design of magnetic nanostructures whose magnetic heating efficiency remains unaffected at the tumor site is a fundamental requirement to further advance magnetic hyperthermia in the clinic. This work demonstrates that the confinement of magnetic nanoparticles (NPs) into a sub-micrometer cavity is a key strategy to enable a certain degree of nanoparticle motion and minimize aggregation effects, consequently preserving the magnetic heat loss of iron oxide nanocubes (IONCs) under different conditions, including intracellular environments. We fabricated magnetic layer-by-layer (LbL) self-assembled polyelectrolyte sub-micrometer capsules using three different approaches, and we studied their heating efficiency as obtained in aqueous dispersions and after internalization by tumor cells. First, IONCs were added to the hollow cavities of LbL submicrocapsules, allowing the IONCs to move to a certain extent in the capsule cavities. Second, IONCs were coencapsulated into solid calcium carbonate cores coated with LbL polymer shells. Third, IONCs were incorporated within the polymer layers of the LbL capsule walls. In aqueous solution, higher specific absorption rate (SAR) values were related to those of free IONCs, while lower SAR values were recorded for capsule/core assemblies. However, after uptake by cancer cell lines (SKOV-3 cells), the SAR values of the free IONCs were significantly lower than those observed for capsule/core assemblies, especially after prolonged incubation periods (24 and 48 h). These results show that IONCs packed into submicrocavities preserve the magnetic losses, as the SAR values remained almost invariable. Conversely, free IONCs without the protective capsule shell agglomerated and their magnetic losses were strongly reduced. Indeed, IONC-loaded capsules and free IONCs reside inside endosomal and lysosomal compartments after cellular uptake and show strongly reduced magnetic losses due to the immobilization and aggregation in centrosymmetrical structures in the intracellular vesicles. The confinement of IONCs into sub-micrometer cavities is a key strategy to provide a sustained and predictable heating dose inside biological matrices.