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The side effects of chemotherapy are mainly the poor control of drug release. Magnetic nanoparticles (MNPs) have super-paramagnetic behaviors which are preferred for biomedical applications such as in targeted drug delivery, besides, in magnetic recording, catalysis, and others. MNPs, due to high magnetization response, can be manipulated by the external magnetic fields to penetrate directly into the tumor, thus they can act as ideal drug carriers. MNPs also play a crucial role in drug delivery system because of their high surface-to-volume ratio and porosity. The drug delivery in tumor therapy is related to the sizes, shapes, and surface coatings of MNPs as carriers. Therefore, in this review, we first summarize the effects of the sizes, shapes, and surface coatings of MNPs on drug delivery, then discuss three types of drug release systems, i.e., pH-controlled, temperature-controlled, and magnetic-controlled drug release systems, and finally compare the principle of passive drug release with that of active drug release in tumor therapy.