Recently, there has been an increased interest in iron–gold-based hybrid nanostructures, due to their combined outstanding optical and magnetic properties resulting from the usage of two separate metals. The synthesis of these nanoparticles involves thermal decomposition and modification of their surfaces using a variety of different methods, which are discussed in this review. In addition, different forms such as core–shell, dumbbell, flower, octahedral, star, rod, and Janus-shaped hybrids are discussed, and their unique properties are highlighted. Studies on combining optical response in the near-infrared window and magnetic properties of iron–gold-based hybrid nanoparticles as multifunctional nanoprobes for drug delivery, magnetic–photothermal heating as well as contrast agents during magnetic and optical imaging and magnetically-assisted optical biosensing to detect traces of targeted analytes inside the body has been reviewed.