The magnetorheological (MR) performance of suspensions based on core-shell-structured foamed polystyrene (PSF)/Fe3O4 particles was investigated by using a vibrating sample magnetometer and a rotational rheometer. Core-shell-structured polystyrene (PS)/Fe3O4 was synthesized by using the Pickering-emulsion polymerization method in which Fe3O4 nanoparticles were added as a solid surfactant. Foaming the PS core in PS/Fe3O4 particles was carried out by using a supercritical carbon dioxide (scCO2) fluid. The density was measured by a pycnometer. The densities of PS/Fe3O4 and PSF/Fe3O4 particles were significantly lowered from that of the pure Fe3O4 particle after Pickering-emulsion polymerization and foaming treatment. All tested suspensions displayed similar MR behaviors but different yield strengths. The important parameter that determined the MR performance was not the particle density but rather the surface density of Fe3O4 on the PS core surface. The morphology was observed by scanning electron microscopy and transmission electron microscopy. Most Fe3O4 particles stayed on the surface of PS/Fe3O4 particles, making the surface topology bumpy and rough, which decreased the particle sedimentation velocity. Finally, Turbiscan apparatus was used to examine the sedimentation properties of different particle suspensions. The suspensions of PS/Fe3O4 and PSF/Fe3O4 showed remarkably improved stability against sedimentation, much better than the bare Fe3O4 particle suspension because of the reduced density mismatch between the nanoparticles and the carrier medium as well as the surface topology change.