Magnetic nanoparticles with core/shell structures are an important class of functional materials, possessing unique magnetic properties due to their tailored dimensions and compositions. This paper reviews mainly our recent advances in the preparation and characterizations of core/shell structured magnetic materials, focusing in nonmagnetic, antiferromagnetic, or ferro/ferri-magnetic shell coated magnetic core particles. And some of the unique properties of core-shell materials and their self-assembly are presented. Shell layers are shown to serve various functions. A broad demonstration of the successful blend of these types of materials synthesis, microstructural evolution and control, new physics and novel applications that is central to research in this field is presented.