Magnetic nanocomposites are multi-component materials, typically containing nanosized magnetic materials to trigger the response to an external stimulus (i.e., an external static or alternating magnetic field). Up to now, the search for novel nanocomposites has lead to the combination of a plethora of different materials (e.g., gels, liquid crystals, renewable polymers, silica, carbon or metal organic frameworks) with various types of magnetic particles, offering exciting perspectives not only for fundamental investigations but also for application in various fields, including medical therapy and diagnosis, separations, actuation, or catalysis. In this review, we have selected a few of the most recent examples to highlight general concepts and advances in the preparation of magnetic nanocomposites and recent advances in the synthesis of magnetic nanoparticles.