Magnetic nanocomposites with well-defined mesoporous structures, shapes, and tailored properties are of immense scientific and technological interest. This review article is devoted to the progress in the synthesis and applications of magnetic mesoporous materials. The first part briefly reviews various general methods developed for producing magnetic nanoparticles (NPs). The second presents and categorizes the synthesis of magnetic nanocomposites with mesoporous structures. These nanocomposites are broadly categorized into four types: monodisperse magnetic nanocrystals embedded in mesoporous nanospheres, microspheres encapsulating magnetic cores into perpendicularly aligned mesoporous shells, ordered mesoporous materials loaded with magnetic NPs inside the porous channels or cages, and rattle-type magnetic nanocomposites. The third section reviews the potential applications of the magnetic nanocomposites with mesoporous structures in the areas of heath care, catalysis, and environmental separation. The final section offers a summary and future perspectives on the state-of-the art in this area.