Suspensions of iron particles in media with yield stresses were investigated to determine the effect of the continuous phase yield stress on the magnetorheological (MR) response. The steady-shear MR response was independent of the continuous phase yield stress for yield stresses in the range 0.9-37 Pa. The field-induced suspension yield stress increased sub-quadratically with the flux density. The small amplitude oscillatory sheer response exhibited history dependence. The storage modulus depended not only on the magnitude of the applied magnetic field. but also on its history. This history dependence can be explained in terms of the field-dependent evolution of the suspension microstructure.