Milk occupies an important position in the human diet structure, while some studies indicated residues of various veterinary drugs in commercial milk. Meanwhile, detection of veterinary drug residues is difficult due to the complexity of milk matrix. As development of separation techniques based on magnetic materials has become a hot topic for international researchers, magnetic solid-phase extraction (MSPE) as a new mode of solid-phase extraction (SPE) has powerful advantages in the field of separation science due to its superparamagnetic character and adsorption selectivity. This paper describes the new SPE technique and reviews its current applications in the detection of veterinary drug residues in milk.