Nonlocal thermal transport in magnetized plasmas is studied theoretically and numerically with the Vlasov–Fokker–Planck (VFP) model, in which the magnetic field has nonzero components both perpendicular to and along the temperature gradient. Nonlocal heat transport is found in both the longitudinal and transverse directions, provided the temperature gradients are sufficiently large. The magnetic field tends to reduce the nonlocality of the thermal transport in the direction perpendicular to the magnetic field, i.e., the difference between the heat fluxes predicted by the Braginskii theory and the VFP simulation decreases with increasing magnetic field strength. When the initial temperature gradient is steep, the nonlocal heat flux depends not only on the present temperature profile, but also on its time history. Moreover, the contribution of high-order terms in the spherical harmonic expansion of the electron distribution function becomes important for a magnetized plasma, in particular for thermal transport in the direction perpendicular to the temperature gradient.