Sonochemistry uses ultrasound to improve or modify chemical reactions. Sonochemistry occurs when the ultrasound causes chemical effects on the reaction system, such as the formation of free radicals, that intensify the reaction. Many studies have investigated the synthesis of nanomaterials by the sonochemical method, but there is still very limited information on the detailed characterization of these physicochemical and morphological nanoparticles. In this comprehensive review, recent advances in the sonochemical synthesis of nanomaterials based on iron oxide nanoparticles (Fe3O4NP), gold nanoparticles (AuNP) and iron oxide-coated gold nanoparticles (Fe3O4@Au NP) are discussed. These materials are the most studied materials for various applications, such as medical and commercial uses. This review will: (1) address the simple processing and observations on the principles of sonochemistry as a starting point for understanding the fundamental mechanisms, (2) summarize and review the most relevant publications and (3) describe the typical shape of the products provided in sonochemistry. All in all, this review’s main outcome will provide a comprehensive overview of the available literature knowledge that promotes and encourages future sonochemical work.