The rapid thermal processing (RTP) technique features dynamic control of temperature, which permits high heating and cooling rates that cannot be reached with conventional furnace treatments. In recent years, RTP has been increasingly applied to the processing of magnetic materials. The controllable heating profiles provide an approach for the deliberate construction of materials structure via expediting phase transitions and tailoring materials morphology. In this review, the history, principles and facilities of several types of RTP techniques are introduced, including laser and electron beam heating, lamp heating, Joule heating and pulse thermal processing techniques. RTP of various advanced magnetic materials are reviewed, including soft magnetic materials, spintronic materials, magnetic recording materials and nanocomposite hard magnetic materials. Advantages of RTP are highlighted and compared with conventional thermal treatments.