In the present paper, we report the preparation of hybrid temperature-sensitive microgels which include magnetite nanoparticles in their structure. Polymeric microgels have been prepared by surfactant-free emulsion copolymerization of acetoacetoxyethyl methacrylate (AAEM) and N-vinylcaprolactam (VCL) in water with a water-soluble azo-initiator. The obtained microgels possess a low critical solution temperature (LCST) in water solutions, with a rapid decrease of the particle size being observed at elevated temperatures. Magnetite was deposited directly into microgels, leading to the formation of composite particles which combine both temperature-sensitive and magnetic properties. The influence of magnetite load on microgel size, morphology, swelling-deswelling behavior, and stability is discussed.