Magnetorheological materials refer to field-response smart materials whose properties are controllable with a magnetic field, including fluid, grease, elastomer, and gel. The unique magnetorheological effect exhibited by these smart materials is a physical phenomenon where physics and engineering intersect and has extensive application prospects in modern machinery. In electro-mechanical systems, magnetorheological materials offer a superior design method for mechanical devices used in the fields of transmission, damping, and braking. It is important to control the magnetorheological materials for advancing the design philosophy of modern electro-mechanical devices. Hence, this paper presents a recent progressive review on the fundamentals of magnetorheological materials and numerous applications. Firstly, an introduction to the magnetorheological effect and different types of magnetorheological materials are presented in this review. Then, the individual and coupled effects of sedimentation, temperature, and magnetic field on magnetorheological materials are discussed. Finally, magnetorheological materials-based devices have been extensively reviewed, including actuator, clutch, damper, brake, pump, valve, and robot, thus aiming to provide useful information for facilitating the design of complex electro-mechanical systems.