Atomic layer deposition (ALD) is known as a key enabler of the continuous advances in device engineering for microelectronics. For instance, the state-of-the-art transistor technology depends entirely on ALD-grown high-κ materials. Another application branch where ALD could potentially play a similar important role in future is the magnetic thin film devices. Spin-based devices based on high-quality magnetic thin films are anticipated to provide high-efficiency operations with low power consumption. The strict quality demands the magnetic thin films must fulfill in the next-generation applications form the strong bases for the efforts to implement ALD in this application area. In this first comprehensive review on the topic, our aim is to provide an insightful account of the ALD processes so far developed for magnetic materials and to highlight the application-relevant magnetic properties of the thus fabricated thin films. Moreover, we discuss the various innovative engineering efforts made toward different multi-layered and nanostructured composite materials and complex architectures uniquely enabled by the sophisticated self-terminated film-growth mechanism of ALD. The review is finished with a brief outlook toward the future prospects and challenges in the field.