Magnetic nanoparticles (MNPs) are of high significance in sensing as they provide viable solutions to the enduring challenges related to lower detection limits and nonspecific effects. The rapid expansion in the applications of MNPs creates a need to overview the current state of the field of MNPs for sensing applications. In this review, the trends and concepts in the literature are critically appraised in terms of the opportunities and limitations of MNPs used for the most advanced sensing applications. The latest progress in MNP sensor technologies is overviewed with a focus on MNP structures and properties, as well as the strategies of incorporating these MNPs into devices. By looking at recent synthetic advancements, and the key challenges that face nanoparticle-based sensors, this review aims to outline how to design, synthesize, and use MNPs to make the most effective and sensitive sensors.