Micro/nanobubbles for use as ultrasound contrast agents have been fabricated with different shell materials. When various biomedical nanoparticles have been embedded in the shells of bubbles, the composite structures have shown promising applications in multi-modal imaging, drug/gene delivery, and biomedical sensing. In this study, we developed a new gas-liquid interface self-assembly method to prepare magnetic nanobubbles embedded with superparamagnetic iron oxide nanoparticles (SPIONs). The diameter of the generated assembled nanobubbles was 227.40 ± 87.21 nm with a good polydispersity index (PDI) of 0.29. Under the condition of 150 compression cycles, the nanobubble concentration could reach about 6.12 × 109/mL. Transmission electron microscopy (TEM) and scanning electronic microscopy (SEM) demonstrated that the assembled nanobubbles had a hollow gas core with SPIONs adsorbed on the surface. Ultrasound (US) imaging and magnetic resonance imaging (MRI) experiments indicated that the assembled magnetic nanobubbles exhibited good US and MR contrast capabilities. Moreover, the assembled magnetic nanobubbles were used to label neural stem cells under ultrasound exposure. After 40 s US exposure, the magnetic nanobubbles could be delivered into cells with 2.80 pg Fe per cell, which could be observed in the intracellular endosome by TEM. Compared with common incubation methods, the ultrasound exposure method did not introduce the potential cytotoxicity of transfection reagents and the efficiency was about twice as high as the efficiency of incubation. Therefore, the assembled magnetic nanobubbles prepared through the pressure-driven gas-liquid interface assembly approach could be a potential US/MRI dual model imaging nanocarrier for regenerative applications.