Controlled release of drugs from nanostructured functional materials, especially nanoparticles (NPs), is attracting increasing attention because of the opportunities in cancer therapy and the treatment of other ailments. The potential of magnetic NPs stems from the intrinsic properties of their magnetic cores combined with their drug loading capability and the biochemical properties that can be bestowed on them by means of a suitable coating. Here we review the problems and recent advances in the development of magnetic NPs for drug delivery, focusing particularly on the materials involved.