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Simple Summary: Recent advances in treating cancer via stimulating an anti-tumor immune system response have resulted in extraordinary results for lymphomas and leukemias; however these therapies have not performed well in solid tumors. External beam therapies, such as radiotherapy, hyperthermia, and photodynamic therapy, that are clinically used for solid tumors are now being explored in combination with nanoparticle systems to stimulate a long-term anti-tumor immune system response. In this review, we detail the novel nanoparticle complexes that are being researched to activate an anti-tumor immune response in combination with external beam therapy in both the preclinical and clinical settings. Nanoparticles activated by external beams, such as ionizing radiation, laser light, or magnetic fields, have attracted significant research interest as a possible modality for treating solid tumors. From producing hyperthermic conditions to generating reactive oxygen species, a wide range of externally activated mechanisms have been explored for producing cytotoxicity within tumors with high spatiotemporal control. To further improve tumoricidal effects, recent trends in the literature have focused on stimulating the immune system through externally activated treatment strategies that result in immunogenic cell death. By releasing inflammatory compounds known to initiate an immune response, treatment methods can take advantage of immune system pathways for a durable and robust systemic anti-tumor response. In this review, we discuss recent advancements in radiosensitizing and hyperthermic nanoparticles that have been tuned for promoting immunogenic cell death. Our review covers both preclinical and clinical results, as well as an overview of possible future work. [ABSTRACT FROM AUTHOR]