Magnetic MgxCoyZn(1-x-y)Fe2O4 nanoparticles were successfully prepared by the rapid combustion approach, and SEM, XRD, VSM, EDX, and FTIR techniques were applied for their characterization. The influence of the element ratios (Mg2+, Co2+, and Zn2+) in magnetic MgxCoyZn(1-x-y)Fe2O4 nanoparticles on their properties was explored. To acquire a larger specific surface area for better adsorption of methyl blue (MB), magnetic Mg0.4Co0.5Zn0.1Fe2O4 nanoparticles calcined at 400°C for 2 h with 25 mL anhydrous ethanol were selected, and their average particle size and the saturation magnetization were about 81.3 nm and 13.5 emu·g-1, respectively. Adsorption kinetics models and adsorption isotherm models were applied to research the adsorption characteristics of MB onto magnetic Mg0.4Co0.5Zn0.1Fe2O4 nanoparticles. The pseudo-second-order kinetics model (
R
2
>
0.99
) and Temkin isotherm model (
R
2
=
0.9887
) were the most consistent with the data, indicating that the adsorption was the chemical multilayer adsorption mechanism, and the process was an exothermic reaction. The E of the Dubinin-Radushkevich (D-R) isotherm model was 0.2347 KJ·mol-1, indicating the adsorption involved physical adsorption besides chemical adsorption. The
Δ
G
0
and
Δ
H
0
(
Δ
H
0
=
−
10.38
KJ·mol-1) of the adsorption process of MB adsorbed onto magnetic Mg0.4Co0.5Zn0.1Fe2O4 nanoparticles measured through the thermodynamic experiment were both less than 0, which proved that the process was a spontaneous exothermic reaction. The adsorption capacity of MB onto magnetic Mg0.4Co0.5Zn0.1Fe2O4 nanoparticles increased with the pH of MB solution increasing from 2 to 4 at room temperature, and it had no significant change when the pH of MB solution was 4-12, while the relative removal rate was 98.75% of the first one after 2 cycles. The electrochemical impedance spectroscopy (EIS) and the cyclic voltammetry (CV) data further demonstrated that MB was adsorbed onto magnetic Mg0.4Co0.5Zn0.1Fe2O4 nanoparticles.