Determining and acting on thermo-physical properties at the nanoscale is essential for understanding/managing heat distribution in micro/nanostructured materials and miniaturized devices. Adequate thermal nano-characterization techniques are required to address thermal issues compromising device performance. Scanning thermal microscopy (SThM) is a probing and acting technique based on atomic force microscopy using a nano-probe designed to act as a thermometer and resistive heater, achieving high spatial resolution. Enabling direct observation and mapping of thermal properties such as thermal conductivity, SThM is becoming a powerful tool with a critical role in several fields, from material science to device thermal management. We present an overview of the different thermal probes, followed by the contribution of SThM in three currently significant research topics. First, in thermal conductivity contrast studies of graphene monolayers deposited on different substrates, SThM proves itself a reliable technique to clarify the intriguing thermal properties of graphene, which is considered an important contributor to improve the performance of downscaled devices and materials. Second, SThM’s ability to perform sub-surface imaging is highlighted by thermal conductivity contrast analysis of polymeric composites. Finally, an approach to induce and study local structural transitions in ferromagnetic shape memory alloy Ni–Mn–Ga thin films using localized nano-thermal analysis is presented.