Heterogeneous photo–Fenton reactions have been regarded as important technologies for the treatment of textile dyeing wastewaters. In this work, an efficient core-shell magnetic anion exchange resin (MAER) was prepared through in situ polymerization and used to remove reactive brilliant red (X-3B) in a UV–Fenton system. The MAER exhibited satisfactory removal efficiency for X-3B because of its highly effective catalytic activity. More than 99% of the X-3B (50 mg/L) was removed within 20 min in the UV–Fenton reaction. This is because the uniformly dispersed core-shell magnetic microsphere resin could suppress the aggregation of Fe3O4 nanoparticles and, thus, enhance the exposure of Fe reaction sites for catalytic reaction with H2O2. The good adsorption capacity of MAER also played an important role in promoting contact between X-3B and reactive radicals during the reaction. Mechanism research showed that hydroxyl radical (•OH) was the main reactive radicals for the removal of X-3B in the MAER UV–Fenton system. The MAER can be easily separated by a magnet after catalytic reactions. Moreover, the matrix effects of different substrates (Cl−, NO3−, SO42−, and humic acid) were investigated. The results showed that SO42− could be beneficial to improve the removal of X-3B but that the others decrease the removal. The MAER UV–Fenton also removed significant amounts of total organic carbon (TOC) for the X-3B solution and an actual textile dyeing industrial wastewater. The heterogeneous oxidation system established in this work may suggest prospects for practical applications in the treatment of textile dyeing wastewater.