Magnetically responsive optical modulation has emerged as a promising application in various fields such as smart windows, anti‐counterfeiting, and colorimetric sensors, due to its unique advantages in remote and nondestructive control, as well as precise and high‐contrast response. Compared to isotropic counterparts, anisotropic magnetic nanostructures (AMNs) take advantage of the interplay among magnetic dipoles, magnetocrystalline anisotropy, shape anisotropy, and crystal facets to control diverse dimensions of light propagation. By manipulating frequency, amplitude, polarization, and plasmonic resonance, AMNs can provide a variety of functional applications. A comprehensive overview of recent developments in optical modulation based on AMNs with a focus on their emerging applications and design strategies is presented. It starts with a brief introduction of typical AMN building blocks, highlighting various optical modulation modes, including tunable transmission, diffraction, polarization, and plasmonic resonance. The primary focus is to discuss design strategies for various applications, i.e., smart windows, anti‐counterfeiting labels, colorimetric sensors, and multifunctional‐driven devices. It concludes with the challenges and perspectives for magneto‐optical modulation based on anisotropic structures. Overall, this review provides in‐depth insight into building blocks, magnetic modulation strategies, and optical property modulation of AMNs, thereby accelerating practical applications of these structures in functional devices.