Magnetorheological fluids (MRF) are intelligent materials that can vary their yield stress in response to an applied magnetic field. This characteristic, combined with active and multifunctional control, allows the development of actuators with fast response time, low energy consumption, long service life, and reduced dimensions and weights. Various studies have been conducted to improve MR dampers in prosthetic applications, including knees, ankle-foot, hands, and sockets. Here, we present a critical review of the progress of MRFs in the prosthetic field. In addition, research in prostheses’ design, optimization, and control of magnetorheological actuators is investigated, along with MRF modeling, mode of operation, type of MR actuator, classification, and working principle of MRF-based devices. Although MRFs are considered promising materials for designing novel prosthetic devices, this review shows that applications have been predominantly focused on lower limb prostheses. We conclude by discussing possible future applications and challenges that must be faced to enable and improve commercial applications based on MRF technology.