Self‐assembly processes are very important in material sciences but are particularly difficult to predict quantitatively. This is the case for particulate magnetic materials in which field‐induced self‐assembly processes are essential. This article describes the recent advances in the development of predictive theoretical tools for the study of directed self‐assembly of superparamagnetic colloids under magnetic fields. A practical view is presented of how to employ the new concepts (derived from thermodynamic theory) to predict the possible assembled structures from the properties of the colloids and thermodynamic conditions. Quantitative prediction of kinetics is also discussed for the cases in which equilibrium theory is not relevant. Finally, an outline of fundamental aspects of the theory is presented. Recent theoretical advances allow quantitative predictions of self‐assembly of superparamagnetic colloids under magnetic fields. This article describes how to employ self‐assembly thermodynamics to predict the possible assembled structures from the properties of the colloidal suspension (particle, size, magnetization, concentration, temperature). Quantitative prediction of kinetics is also discussed for the cases in which equilibrium theory is not relevant.