Hybrid quantum systems based on magnons in magnetic materials have made significant progress in the past decade. They are built based on the couplings of magnons with microwave photons, optical photons, vibration phonons, and superconducting qubits. In particular, the interactions among magnons, microwave cavity photons, and vibration phonons form the system of cavity magnomechanics (CMM), which lies in the interdisciplinary field of cavity QED, magnonics, quantum optics, and quantum information. Here, we review the experimental and theoretical progress of this emerging field. We first introduce the underlying theories of the magnomechanical coupling, and then some representative classical phenomena that have been experimentally observed, including magnomechanically induced transparency, magnomechanical dynamical backaction, magnon-phonon cross-Kerr nonlinearity, etc. We also discuss a number of theoretical proposals, which show the potential of the CMM system for preparing different kinds of quantum states of magnons, phonons, and photons, and hybrid systems combining magnomechanics and optomechanics and relevant quantum protocols based on them. Finally, we summarize this review and provide an outlook for the future research directions in this field.