Magnetic nanocomposites with core/shell structure are an important class of functional materials, and their comprehensive properties are affected by the microstructures of materials: they are largely dependent on the controlled sysnthesis of the composite systems. In this paper, we review the research advances in the preparation, characterization and performance of core/shell-structured magnetic nanocomposites, focusing on the following systems: 1) ferrite-based permanent-magnet/soft-magnetic (or antiferromagnetic) composite nanomaterials; 2) nanocomposites comprised of the magnetic core particles and the nonmagnetic coating layers; 3) carbon-based nanocomposites obtained by the catalytic synthesis of magnetic particles; 4) nanocomposites with exchange bias effect; 5) one-dimensional nanocomposites with coaxial core/shell structure; 6) core/shell/shell structured magnetic ternary nanocomposites. The components of these composite systems include M-type permanent-magnet ferrites, 3d transition metals (and their alloys, oxides and carbides), multiferroics, nonmagnetic (such as insulator, semiconductor and organic molecule), and carbon materials. And the emphasis is placed on the analysis of thermal stability, photoluminescence performance, photoelectrocatalytic capacity, electrochemical characteristics, microwave absorption properties, magnetoresistance effect, permanent magnetic property, high-frequency soft-magnetic properties, exchange bias effect and related phenomenology for the core/shell-structured nanocomposites. Finally, the future developing trend of the magnetic nanocomposites with core/shell structure is presented, and some fundamental researches and modified applications are also proposed.