A three steps synthesis route is proposed to generate the first thermo-sensitive and magnetically responsive γ-Fe2O3@Wax@SiO2 submicron capsules with a paraffinic core and a solid and brittle shell. The process integrates Pickering-based emulsions, inorganic and sol-gel chemistries to promote monodisperse in size wax droplets, γ-Fe2O3 nanoparticles and mineralization of the wax/water interfaces. Final hybrid capsules are obtained with an average size around 800 nm, representing thereby the first example of sub-micrometer capsules generated employing Pickering emulsions as templates. Cetyltrimethylammonium bromide (CTAB) cationic surfactant added during mineralization at concentrations between 0.17 wt.% and 1.0 wt.% impact the shell density. The shell density seems to improve its mechanical strength while affording a low wax expansion volume without breaking for CTAB concentrations above 1.0 wt.%. On the contrary, for the lower CTAB concentration (0.17 wt.%), the silica shell becomes less bulky and cannot resist the wax dilatation induced by the solid-to-liquid phase transition imposed by hyperthermia. The magnetically-induced heating provided by the internal magnetic moments is sufficient to melt the wax core, expanding its volume, inducing thereby the surrounding silica shell rupture. Such γ-Fe2O3@Stearic Acid@Wax@SiO2 submicron capsules allow a sustained wax release with time, whereby 20% of the wax is being released after 50 minutes of alternating magnetic field (AMF) treatment.