Magnetic nanoparticles exhibit unique nanoscale properties and their utilization for various magnetic systems is of significant interest. Especially, heterostructured magnetic nanoparticles are emerging as next-generation materials due to their synergistically enhanced magnetism and potential multifunctionalities. Herein, we overview the recent advances in the development of magnetic nanoparticles with a focus on multicomponent heterostructured nanoparticles including alloys, core-shells, and binary superlattices synthesized via nonhydrolytic methods. Their multifunctionalites and high performance capabilities are demonstrated for applications in high density magnetic storages, chemical catalysis, and biomedical separation and diagnostics.