Magnetic nanoparticles (MNPs) are widely used materials for biomedical applications owing to their intriguing chemical, biological and magnetic properties. The evolution of MNP based biomedical applications (such as hyperthermia treatment and drug delivery) could be advanced using magnetic nanofluids (MNFs) designed with a biocompatible surface coating strategy. This study presents the first report on the drug loading/release capability of MNF formulated with methoxy polyethylene glycol (referred to as PEG) coated MNP in aqueous (phosphate buffer) fluid. We have selected MNPs (NiFe2O4, CoFe2O4 and Fe3O4) coated with PEG for MNF formulation and evaluated the loading/release efficacy of doxorubicin (DOX), an anticancer drug. We have presented in detail the drug loading capacity and the time-dependent cumulative drug release of DOX from PEG-coated MNPs based MNFs. Specifically, we have selected three different MNPs (NiFe2O4, CoFe2O4 and Fe3O4) coated with PEG for the MNFs and compared their variance in the loading/release efficacy of DOX, through experimental results fitting into mathematical models. DOX loading takes the order in the MNFs as CoFe2O4 > NiFe2O4 > Fe3O4. Various drug release models were suggested and evaluated for the individual MNP based NFs. While the non-Fickian diffusion (anomalous) model fits for DOX release from PEG coated CoFe2O4, PEG coated NiFe2O4 NF follows zero-order kinetics with a slow drug release rate of 1.33% of DOX per minute. On the other hand, PEG coated NiFe2O4 follows zero-order DOX release. Besides, several thermophysical properties and magnetic susceptibility of the MNFs of different concentrations have been studied by dispersing the MNPs (NiFe2O4, CoFe2O4 and Fe3O4) in the base fluid at 300 K under ultrasonication. This report on the DOX loading/release capability of MNF will set a new paradigm in view that MNF can resolve problems related to the self-heating of drug carriers during mild laser treatment with its thermal conducting properties.