Spin-orbit coupling is especially critical for the description of magnetic anisotropy, electron paramagnetic resonance spectroscopy of inorganic radicals and transition-metal complexes, and intersystem crossing. Here, we show how spin-orbit coupling may be included in multiconfiguration pair-density functional theory (MC-PDFT), and we apply the resulting formulation to the calculation of magnetic g tensors (which govern the Zeeman effect) of molecules containing transition metals. MC-PDFT is an efficient method for including static and dynamic electronic correlation in the quantum mechanical treatment of molecules; here, we apply it with spin-orbit coupling by using complete active space self-consistent field (CASSCF) and complete active space configuration interaction (CASCI) wave functions and on-top density functionals. We propose a systematic CASCI scheme for the g tensor calculation of the ground state of the systems under consideration, and we show its superiority over the conventional CASSCF scheme. State interaction, which is important for degenerate and nearly degenerate states, is included by extended multi-state PDFT (XMS-PDFT). Applications are reported for the ground doublet states of 25 transition-metal complexes with d1, d5, d7, and d9 configurations. The MC-PDFT methods are shown to be both efficient and accurate as compared with complete active space second-order perturbation theory.