All forms of energy follow the law of conservation of energy, by which they can be neither created nor destroyed. Light-to-heat conversion as a traditional yet constantly evolving means of converting light into thermal energy has been of enduring appeal to researchers and the public. With the continuous development of advanced nanotechnologies, a variety of photothermal nanomaterials have been endowed with excellent light harvesting and photothermal conversion capabilities for exploring fascinating and prospective applications. Herein we review the latest progresses on photothermal nanomaterials, with a focus on their underlying mechanisms as powerful light-to-heat converters. We present an extensive catalogue of nanostructured photothermal materials, including metallic/semiconductor structures, carbon materials, organic polymers, and two-dimensional materials. The proper material selection and rational structural design for improving the photothermal performance are then discussed. We also provide a representative overview of the latest techniques for probing photothermally generated heat at the nanoscale. We finally review the recent significant developments of photothermal applications and give a brief outlook on the current challenges and future directions of photothermal nanomaterials.