In this paper, the self-levitation of cylindrical magnets wrapped by shells immersed in magnetic fluid (MF) is studied. The calculation formula of the magnetic fluid levitation force (MFLF) received by magnets and shells is derived, and the dependence between MFLF, mass of MF, and levitation height of magnets is studied. Attention is paid to the influence of magnetization direction of magnets and shells on MFLF, and experiments have been designed to study MFLF. Research shows that both the magnetization direction of magnets and shells can affect MFLF, and the use of soft magnetic shells and radial magnetized magnets is beneficial to obtain a smaller axial MFLF. In addition, the magnetization direction of magnets has a significant influence on the distribution and surface instability of MF, which is a key factor affecting MFLF. There are two intervals in which the MFLF changes drastically for the axial magnetized magnets, but only one for the magnets with radial magnetization. The reason is that the surface instability of MF caused by axial magnetized magnets plays a significant role in axial MFLF, while the surface instability caused by radial magnetized magnets has almost no influence on axial MFLF.