The use of contactless magnetic forces meets numerous needs in microelectromechanical systems (MEMS) or microfluidic devices. In this view, heterogeneous materials integrating magnetic nanostructures within a non-magnetic matrix such as polymer can produce local variations of magnetic field, at the sub-micrometer scale. Here we report on the synthesis of magnetic composites using electrospun nanofilaments and a polydimethylsiloxane (PDMS) matrix. Varying the precursor nature and heat treatment conditions, we obtained single phase filaments of Fe, FeNi, and MFe2O4 (M = Co, Fe, Ni). Thanks to a fine investigation of their structure and morphology, it was possible to measure from magnetically-soft (µ0HC ⩽ 5 mT) to relatively hard (µ0HC up to 93 mT, MR/MS up to 0.5) behaviors. The common one-dimensional shape of these filaments leads to an anisotropic magnetic response. This can be exploited to achieve self-organization of the filaments in arrays within the non-magnetic matrix. We show the first step towards the development of magnetically anisotropic membranes of PDMS with 0.23 wt% Fe filaments. These composite materials are promising for implementing magnetic functions in microsystems while circumventing complex micro-fabrication steps.