Ultrasensitive biosensing is currently a growing demand that has led to the development of numerous strategies for signal amplification. In this context, the unique properties of magnetic particles; both of nano- and micro-size dimensions; have proved to be promising materials to be coupled with disposable electrodes for the design of cost-effective electrochemical affinity biosensing platforms. This review addresses, through discussion of selected examples, the way that nano- and micro-magnetic particles (MNPs and MMPs; respectively) have contributed significantly to the development of electrochemical affinity biosensors, including immuno-, DNA, aptamer and other affinity modes. Different aspects such as type of magnetic particles, assay formats, detection techniques, sensitivity, applicability and other relevant characteristics are discussed. Research opportunities and future development trends in this field are also considered.