Multicomponent hybrid nanostructures that contain two or more nanometer‐scale components have attracted much attention recently owing to the synergistic properties induced by interactions between these different nanometer‐scale objects. Herein, we give an overview of the efforts to synthesize multicomponent nanoparticles with at least one component being magnetic, and focus on our recent developments. The syntheses are based on heterogeneous nucleation and growth of a second and third component onto seed nanoparticles. These multicomponent nanoparticles show interesting magnetic, magneto‐optical, plasmonic, and semiconducting properties that can be modulated by interfacial interactions between different nanocomponents. This opens up a new avenue to advanced multifunctional nanomaterials for device concepts and applications. Multicomponent nanoparticles can be synthesized in high‐temperature organic phases. A variety of morphologies such as core/shell, binary heterodimer, nano‐dumbbell, and ternary nanostructures have been obtained. The nanostructures synergistically combine magnetic, plasmonic, and semiconducting properties, and may have unique applications.