This article proposes a new interference-compensating magnetometer calibration scheme aided by a gyroscope sensor, which could reduce the effect of induced magnetic interference due to nearby onboard current flow. By using the innovation process and a linear matrix inequality approach, mean and variance of the induced magnetic interference are estimated to ensure that their physical meaningful values are taken to be closest to the empirically measured ones. The values are reflected in the update step of the extended Kalman filter in order to accurately estimate the calibration parameters and the corresponding direction. Results of experiments performed using a real unmanned aerial vehicle (UAV) demonstrate that the proposed calibration scheme compensates well for the disturbing magnetic interference arising from the UAV's onboard current and hence reduces the estimation error of its yaw angle, or its heading direction, by approximately two-thirds of that obtained using the existing scheme.