Magnetic materials are of increasing importance for many essential applications due to their unique magnetic properties. However, due to the limited fabrication ability, magnetic materials are restricted by simple geometric shapes. Three-dimensional (3D) printing is a highly versatile technique that can be utilized for constructing magnetic materials. The shape flexibility of magnets unleashes opportunities for magnetic composites with reducing post-manufacturing costs, motivating the review on 3D printing of magnetic materials. This paper focuses on recent achievements of magnetic materials using 3D printing technologies, followed by the characterization of their magnetic properties, which are further enhanced by modification. Interestingly, the corresponding properties depend on the intrinsic nature of starting materials, 3D printing processing parameters, and the optimized structural design. More emphasis is placed on the functional applications of 3D-printed magnetic materials in different fields. Lastly, the current challenges and future opportunities are also addressed.