With the predicted rise in the incidence of cancer, there is an ever-growing need for new cancer treatment strategies. Recently, magnetic nanoparticles have stood out as promising nanostructures for imaging and drug delivery systems as they possess unique properties. Moreover, magnetic nanomaterials functionalized with other compounds can lead to multicomponent nanoparticles with innovative structures and synergetic performance. The incorporation of chemotherapeutic drugs or RNA in magnetic drug delivery systems represents a promising alternative that can increase efficiency and reduce the side effects of anticancer therapy. This review presents a critical overview of the recent literature concerning the advancements in the field of magnetic nanoparticles used in drug delivery, with a focus on their classification, characteristics, synthesis and functionalization methods, limitations, and examples of magnetic drug delivery systems incorporating chemotherapeutics or RNA.