Core-shell magnetic particles consisting of magnetic core and functional shells have aroused widespread attention in multidisciplinary fields spanning chemistry, materials science, physics, biomedicine, and bioengineering due to their distinctive magnetic properties, tunable interface features, and elaborately designed compositions. In recent decades, various surface engineering strategies have been developed to endow them desired properties (e.g., surface hydrophilicity, roughness, acidity, target recognition) for efficient applications in catalysis, optical modulation, environmental remediation, biomedicine, etc. Moreover, precise control over the shell structure features like thickness, porosity, crystallinity and compositions including metal oxides, carbon, silica, polymers, and metal-organic frameworks (MOFs) has been developed as the major method to exploit new functional materials. In this review, we highlight the synthesis methods, regulating strategies, interface engineering, and applications of core-shell magnetic particles over the past half-century. The fundamental methodologies for controllable synthesis of core-shell magnetic materials with diverse organic, inorganic, or hybrid compositions, surface morphology, and interface property are thoroughly elucidated and summarized. In addition, the influences of the synthesis conditions on the physicochemical properties (e.g., dispersibility, stability, stimulus-responsiveness, and surface functionality) are also discussed to provide constructive insight and guidelines for designing core-shell magnetic particles in specific applications. The brand-new concept of "core-shell assembly chemistry" holds great application potential in bioimaging, diagnosis, micro/nanorobots, and smart catalysis. Finally, the remaining challenges, future research directions and new applications for the core-shell magnetic particles are predicted and proposed.