Magnetic nanomaterials exhibit multiple magnetic-responsive behaviors under different external magnetic fields to produce various physicochemical effects (e.g., force and heat), which possess a broad range of applications in cancer therapy. To realize the precise delivery in vivo, magnetic nanomaterials induced magnetic actuation under static magnetic field has been the focus of biomedicine research. For instance, magnetic drug delivery systems such as nano-trajectory, nano-drugs have shown promise in efficient intratumoral accumulation of drugs. Inspired by a natural physiologic phenomenon in the tumor microenvironment and multiple physicochemical effects by external stimulation, a variety of endogenous-responsive and magnetic field-stimulated drug delivery systems were constructed. Magnetic nanomaterials loaded with drugs can actively penetrate into tumors under low-frequency alternating magnetic fields, resulting in their uniform distribution through the entire tumor tissue. Under a medium-frequency alternating magnetic field, magnetic nanomaterials produce heat and reactive oxygen species, which can facilitate the active drug release on-demand for cancer treatment. All those effects depend on size, composition, morphology, surface functionalization of magnetic nanomaterials. Owing to their easy surface functionalization, it presents an exciting opportunity in the modularized design and operation of an all-in-one system (imaging, targeted drug delivery, magnetothermal effect, nano-enzyme catalysis, etc.), which can achieve image-guided precise cancer theranostics. In this review, we focused on how to improve the magnetic nano-targeted drug delivery efficiency for tumor treatment, including the potential applications of magnetic targeted drug therapy, passive targeted magnetic hyperthermia and active targeted magnetic hyperthermia in enhancing the efficacy of cancer therapy. We highlighted the mechanisms underlying magnetically-actuated delivery and controlled release of drug. We also considered perspectives and challenges in tumor targeted therapy based on magnetic nanomaterials. Although the biomedical research based on magnetic nanomaterials has made great progress, most of the research is still in the stage of animal testing, and there is a long way to go to realize its clinical application in diagnosis and treatment. There is a series of challenges need to be overcome. (1) Designing safer and more efficient magnetic nanomaterials is needed. For example, improving magnetic properties of magnetic nanomaterials to achieve efficient magnetic targeted drug delivery; optimizing magnetic nanomaterials to avoid its penetration into the normal tissue. (2) Clarifying the regulation mechanism of magnetic nanomaterial-mediated effects on cell fate and disease treatment. (3) Understanding the interaction between magnetic field and living body, such as the effect of magnetic field on living body metabolism and clearance. (4) Developing safe and controllable magnetic field-generating equipment, control system and analysis software, etc. With the in-depth understanding of the biological effects of magnetic nanomaterials, a new discipline “magnetobiology” will be established soon.