This review presents MAX phases (M is a transition metal, A an A-group element, X is C or N), known for their unique combination of ceramic/metallic properties, as a recently uncovered family of novel magnetic nanolaminates. The first created magnetic MAX phases were predicted using density functional theory through evaluation of phase stability, and subsequently synthesized as heteroepitaxial thin films. All magnetic MAX phases reported to date, in bulk or thin film form, are based on Cr and/or Mn, and they include (Cr,Mn)2AlC, (Cr,Mn)2GeC, (Cr,Mn)2GaC, (Mo,Mn)2GaC, and (V,Mn)3GaC2, Cr2AlC, Cr2GeC and Mn2GaC. A variety of magnetic properties have been found, such as ferromagnetic response well above room temperature and structural changes linked to magnetic anisotropy. In this paper, theoretical as well as experimental work performed on these materials to date is critically reviewed, in terms of methods used, results acquired, and conclusions drawn. Open questions concerning magnetic characteristics are discussed, and an outlook focused on new materials, superstructures, property tailoring and further synthesis and characterization is presented.