A survey on the synthesis of cyano-bridged coordination polymer nanoparticles (CPNs) performed in our group and on the study of their related magnetic properties is given. Two synthetic approaches consisting in the one-pot synthesis of soluble CPNs and in the sequential growth of CPNs onto appropriate matrices are reviewed. A special emphasis is placed on the magnetic properties of CPNs and the determination of the magnetic regime in these systems, which strongly depends on various factors. We show that the size of the nanoparticles, the magnetostatic interparticles and/or the NP–matrix interactions provide significant modification of the superparamagnetic relaxation regime.