Cherenkov radiation is generally believed to be threshold-free in hyperbolic metamaterials owing to the extremely large photonic density of states in classical local framework. Although recent advances in nonlocal and quantum plasmonics extend our understanding of light-matter interactions in metamaterials, how such effects influence Cherenkov radiation in hyperbolic metamaterials still remains unknown. Here, it is demonstrated that effects of nonlocality add a new degree of freedom to engineer Cherenkov thresholds in hyperbolic metamaterials. The interplay between finite structural dimensions and nonlocal nature of metallic electrons results in a nonzero Cherenkov threshold. Counterintuitively, such nonlocality-induced Cherenkov threshold can be significantly smaller than the classically predicted one if the metamaterial is designed to work around the epsilon-near-zero frequency. This phenomenon is attributed to the excitation of longitudinal plasmon modes which are absent in classical electromagnetic framework. These findings apply to a general class of hyperbolic materials, including metallodielectric layered structures, nanorod/nanoribbon arrays, hyperbolic van der Waals crystals, etc.