Magnetic Nanoparticles (MNPs) are of great interest in biomedicine, due to their wide range of applications. During recent years, one of the most challenging goals is the development of new strategies to finely tune the unique properties of MNPs, in order to improve their effectiveness in the biomedical field. This review provides an up-to-date overview of the methods of synthesis and functionalization of MNPs focusing on Iron Oxide Nanoparticles (IONPs). Firstly, synthesis strategies for fabricating IONPs of different composition, sizes, shapes, and structures are outlined. We describe the close link between physicochemical properties and magnetic characterization, essential to developing innovative and powerful magnetic-driven nanocarriers. In conclusion, we provide a complete background of IONPs functionalization, safety, and applications for the treatment of Central Nervous System disorders.