Magnetic nanoparticles offer unique potential for various technological, biomedical, or environmental applications thanks to the size-, shape- and material-dependent tunability of their magnetic properties. To optimize particles for a specific application, it is crucial to interrelate their performance with their structural and magnetic properties. This review presents the advantages of small-angle X-ray and neutron scattering techniques for achieving a detailed multiscale characterization of magnetic nanoparticles and their ensembles in a mesoscopic size range from 1 to a few hundred nanometers with nanometer resolution. Both X-rays and neutrons allow the ensemble-averaged determination of structural properties, such as particle morphology or particle arrangement in multilayers and 3D assemblies. Additionally, the magnetic scattering contributions enable retrieving the internal magnetization profile of the nanoparticles as well as the inter-particle moment correlations caused by interactions within dense assemblies. Most measurements are used to determine the time-averaged ensemble properties, in addition advanced small-angle scattering techniques exist that allow accessing particle and spin dynamics on various timescales. In this review, we focus on conventional small-angle X-ray and neutron scattering (SAXS and SANS), X-ray and neutron reflectometry, gracing-incidence SAXS and SANS, X-ray resonant magnetic scattering, and neutron spin-echo spectroscopy techniques. For each technique, we provide a general overview, present the latest scientific results, and discuss its strengths as well as sample requirements. Finally, we give our perspectives on how future small-angle scattering experiments, especially in combination with micromagnetic simulations, could help to optimize the performance of magnetic nanoparticles for specific applications.