A theory of the diffusion of macroscopic, magnetic particles (suspended in gaseous or liquid media) in density and magnetic field gradients is developed from first principles (Fokker–Planck equation). The influence of the random, fluctuating magnetic fields, produced collectively by the magnetic dipole particles in their thermal motions on the diffusing particle, is taken into account in a self-consistent way. It is shown that the anisotropy in the particle diffusion, caused by the coupling of translational and rotational degrees of freedom (Magnus effect), is small in most physical situations. As an application, the steady-state boundary-value problem for the diffusion of magnetic grains in the inhomogeneous magnetic field of an adsorbing sink dipole and an external, homogeneous magnetic field is solved by means of a stream and Green’s functions approach. The coagulation coefficient for magnetic dipole particles in the presence of an external magnetic field is derived. The results are discussed with regard to the coagulation of magnetic grains and the formation of magnetic chains.