Recent years have shown a growing interest in the application of membranes exhibiting magnetic properties in various separation processes. The aim of this review is to provide an in-depth overview of magnetic membranes that can be successfully applied for gas separation, pervaporation, ultrafiltration, nanofiltration, adsorption, electrodialysis, and reverse osmosis. Based on the comparison of the efficiency of these separation processes using magnetic and non-magnetic membranes, it has been shown that magnetic particles used as fillers in polymer composite membranes can significantly improve the efficiency of separation of both gaseous and liquid mixtures. This observed separation enhancement is due to the variation of magnetic susceptibility of different molecules and distinct interactions with dispersed magnetic fillers. For gas separation, the most effective magnetic membrane consists of polyimide filled with MQFP-B particles, for which the separation factor (αrat O2/N2) increased by 211% when compared to the non-magnetic membrane. The same MQFP powder used as a filler in alginate membranes significantly improves water/ethanol separation via pervaporation, reaching a separation factor of 12,271.0. For other separation methods, poly(ethersulfone) nanofiltration membranes filled with ZnFe2O4@SiO2 demonstrated a more than four times increase in water flux when compared to the non-magnetic membranes for water desalination. The information gathered in this article can be used to further improve the separation efficiency of individual processes and to expand the application of magnetic membranes to other branches of industry. Furthermore, this review also highlights the need for further development and theoretical explanation of the role of magnetic forces in separation processes, as well as the potential for extending the concept of magnetic channels to other separation methods, such as pervaporation and ultrafiltration. This article provides valuable insights into the application of magnetic membranes and lays the groundwork for future research and development in this area.