Combustion synthesis is a green, energy-saving approach that permits an easy scale-up and continuous technologies. This process allows for synthesizing various nanoscale materials, including oxides, nitrides, sulfides, metals, and alloys. In this work, we critically review the reported results on the combustion synthesis of magnetic nanoparticles, focusing on their properties related to different bio-applications. We also analyze challenges and suggest specific directions of research, which lead to the improvement of the properties and stability of fabricated materials.