Magnetorheological fluids involve multi-physics phenomena which are manifested by interactions between structural mechanics, electromagnetism and rheological fluid flow. In comparison with analytical models, numerical models employed for magnetorheological fluid applications are thought to be more advantageous, as they can predict more phenomena, more parameters of design, and involve fewer model assumptions. On that basis, the state-of-the-art numerical methods that investigate the multi-physics behaviour of magnetorheological fluids in different applications are reviewed in this article. Theories, characteristics, limitations and considerations employed in numerical models are discussed. Modelling of magnetic field has been found to be rather an uncomplicated affair in comparison to modelling of fluid flow field which is rather complicated. This is because, the former involves essentially one phenomenon/mechanism, whereas the latter involves a plethora of phenomena/mechanisms such as laminar versus turbulent rheological flow, incompressible versus compressible flow, and single- versus two-phase flow. Moreover, some models are shown to be still incapable of predicting the rheological nonlinear behaviour of magnetorheological fluids although they can predict the dynamic characteristics of the system.