Spherical and cubic exchange-coupled FeO/Fe3O4 nanoparticles, with different FeO:Fe3O4 ratios, have been prepared by a thermal decomposition method to probe anisotropy effects on their heating efficiency. X-ray diffraction and transmission electron microscopy reveal that the nanoparticles are composed of FeO and Fe3O4 phases, with an average size of ∼20 nm. Magnetometry and transverse susceptibility measurements show that the effective anisotropy field is 1.5 times larger for the cubes than for the spheres, while the saturation magnetization is 1.5 times larger for the spheres than for the cubes. Hyperthermia experiments evidence higher values of the specific absorption rate (SAR) for the cubes as compared to the spheres (200 vs. 135 W/g at 600 Oe and 310 kHz). These observations point to an important fact that the saturation magnetization is not a sole factor in determining the SAR and the heating efficiency of the magnetic nanoparticles can be improved by tuning their effective anisotropy.