Several developments have recently emerged for core-shell magnetic nanomaterials, indicating that they are suitable materials for biomedical applications. Their usage in hyperthermia and drug delivery applications has escalated since the use of shell materials and has several beneficial effects for the treatment in question. The shell can protect the magnetic core from oxidation and provide biocompatibility for many materials. Yet, the synthesis of the core-shell materials is a multifaceted challenge as it involves several steps and parallel processes. Although reviews on magnetic core-shell nanoparticles exist, there is a lack of literature that compares the size and shape of magnetic core-shell nanomaterials synthesized via various methods. Therefore, this review outlines the primary synthetic routes for magnetic core-shell nanoparticles, along with the recent advances in magnetic core-shell nanomaterials. As core-shell nanoparticles have been proposed among others as therapeutic nanocarriers, their potential applications in hyperthermia drug delivery are discussed.