With the increasing complexity of the sample properties in analytical chemistry and the lower concentrations of the detected substances, it is imperative to develop accurate and efficient sample pretreatment processes before chromatography and mass spectrometry analyses. Magnetic solid-phase extraction (MSPE) can be regarded as an efficient sample pretreatment method due to the simple synthesis, convenient operation, and high extraction efficiency. In recent years, FeO magnetic nanomaterials have been widely used in separation and analysis due to their advantages such as high separation speed, good dispersion, and biocompatibility. Functionalized FeO magnetic nanomaterials are expected to show greatly improved physical and chemical stability, with superior adsorption and separation ability. In this paper, the preparation of magnetic nanomaterials functionalized with carbon-based nanomaterials, molecularly imprinted polymers, ionic liquids, boronate affinity ligands, metal organic frameworks, covalent organic frames, quantum dots, and metal oxides and their applications to sample pretreatment in the fields of biological, environmental, and food safety are reviewed. In addition, future research on sample pretreatment processes is prospected.