High-pressure torsion (HPT) is a severe plastic deformation technique where a sample is subjected to torsional shear straining under a high hydrostatic pressure. The HPT method is usually employed to create ultrafine-grained nano-structures, making it widely used in processing many kinds of materials such as metals, glasses, biological materials, and organic compounds. Most of the published HPT results have been focused on the microstructural development of non-magnetic materials and their influence on the mechanical properties. The HPT processing of magnetic materials and its influence on the structural and magnetic properties have attracted increasing research interest recently. This review describes the application of HPT to magnetic materials and our recent experimental results on Mn3O4, Mn4N, and MnAl-based alloys. After HPT, most magnetic materials exhibit significantly reduced grain size and substantially enhanced coercivity.