Several fields of applications require a reliable characterization of the photothermal response and heat dissipation of nanoscopic systems, which remains a challenging task for both modeling and experimental measurements. Here, we present an implementation of anti-Stokes thermometry that enables the in situ photothermal characterization of individual nanoparticles (NPs) from a single hyperspectral photoluminescence confocal image. The method is label-free, potentially applicable to any NP with detectable anti-Stokes emission, and does not require any prior information about the NP itself or the surrounding media. With it, we first studied the photothermal response of spherical gold NPs of different sizes on glass substrates, immersed in water, and found that heat dissipation is mainly dominated by the water for NPs larger than 50 nm. Then, the role of the substrate was studied by comparing the photothermal response of 80 nm gold NPs on glass with sapphire and graphene, two materials with high thermal conductivity. For a given irradiance level, the NPs reach temperatures 18% lower on sapphire and 24% higher on graphene than on bare glass. The fact that the presence of a highly conductive material such as graphene leads to a poorer thermal dissipation demonstrates that interfacial thermal resistances play a very significant role in nanoscopic systems and emphasize the need for in situ experimental thermometry techniques. The developed method will allow addressing several open questions about the role of temperature in plasmon-assisted applications, especially ones where NPs of arbitrary shapes are present in complex matrixes and environments.