FeO/Fe3O4 nanoparticles were synthesized by thermal decomposition. Electron microscopy revealed that these nanoparticles were of the core-shell type and had a spherical shape with an average size of ~20 nm. It was found that the obtained FeO/Fe3O4 nanoparticles had exchange coupling. The effect of anisotropy on the efficiency of heating (hyperthermic effect) of FeO/Fe3O4 nanoparticles by an external alternating magnetic field was examined. The specific absorption rate (SAR) of the studied nanoparticles was 135 W/g in the experiment with an external alternating magnetic field with a strength of 600 Oe and a frequency of 310 kHz. These data led to an important insight: the saturation magnetization is not the only factor governing the SAR, and the efficiency of heating of magnetic FeO/Fe3O4 nanoparticles may be increased by enhancing the effective anisotropy. Mössbauer spectroscopy of the phase composition of the synthesized nanoparticles clearly revealed the simultaneous presence of three phases: magnetite Fe3O4, maghemite γ-Fe2O3, and wustite FeO.