Magnetic microspheres are widely applied in many fields such as biomedicine and separation engineering, such as immobilizing enzyme, targeting drug carrier, nuclear magnetic resonance imaging, cell labeling and isolation, nucleic acid and protein purification, environmental management etc. With the constant update of new nanomaterials preparation technology, much progress has been made in both the preparation and applications of magnetic microspheres. The preparation methods for magnetic microspheres could be divided into four categories. (1) Embedding. Magnetic nanoparticles are embedded in the microsphere matrix while the microspheres are generated, which could be subdivided into heterogeneous polymerization, emulsification-solvent evaporation, membrane emulsification and microfluidic method, reversed phase suspension cross-linking, Stober method, polymer-induced colloidal aggregation, etc. (2) Template-mediated assembly. Magnetic nanoparticles are assembled inside or on the surface of the template microspheres, including swelling method, adsorption method and electrostatic self-assembly method. (3) Template-mediated in situ generation. Magnetic nanoparticles are in situ generated by coprecipitation, precipitation-oxidation and organic precursor thermolysis in the interior or on the surface of the template microspheres. (4) Solvo(hydro)thermal method. Magnetic microspheres are formed in Teflon-lined stainless steel container under high temperature and pressure. The research progress of magnetic microspheres in recent years are reviewed in this paper according to preparation methods. The preparation process, characters, surface modification and applications of magnetic microspheres are also introduced.