Magnetic nano-and microparticles (MNMPs) belong to a highly versatile class of colloids with actuator and sensor properties that have been broadly studied for their application in theranostics such as molecular imaging and drug delivery. The use of advanced biocompatible, biodegradable polymers and polyelectrolytes as MNMP coating materials is essential to ensure the stability of MNMPs and enable efficient drug release while at the same time preventing cytotoxic effects. In the past years, huge progress has been made in terms of the design of MNMPs. Especially, the understanding of coating formation with respect to control of drug loading and release kinetics on the molecular level has significantly advanced. In this review, recent advancements in the field of MNMP surface engineering and the applicability of MNMPs in research fields of medical imaging, diagnosis, and nanotherapeutics are presented and discussed. Furthermore, in this review the main emphasis is put on the manipulation of biological specimens and cell trafficking, for which MNMPs represent a favorable tool enabling transport processes of drugs through cell membranes. Finally, challenges and future perspectives for applications of MNMPs as theranostic nanomaterials are discussed.