Self-organisation is the key route for assembling colloidal particles into well-defined structures. Decisive for this are the interactions between the constituents, which are amongst others steric, electrostatic or magnetic. A deep knowledge on the underlying physical processes during self-assembly is crucial for the design and fabrication of well-defined hierarchical architectures from a nanometer scale as well as for realizing smart, functional or stimuli responsive synthetic materials. In this dissertation, the self-assembly of colloidal magnetic particles into organized and multi-layered structures is studied. Particular emphasis is given to solid-liquid boundaries and the response to applied magnetic fields. Particle coatings with specific functional molecules stabilize the nanoparticles (NPs) in the solvent and can simultaneously promote their assembly at a substrate. An example in this context is N-hydroxysuccinimide interacting with (3-aminopropyl)triethoxy silane at the substrate. As a result of this chemical affinity, uniform and densely packed particle wetting layers are seeded which then instate the layering process. As an alternative to chemical binding, the magnetic stray field of a ferrimagnetic (Tb₁₅Co₈₅ film) deposited on a substrate induces particle self-assembly with dense layers as well. The application of an external magnetic field further promotes densification, particle layering and leads to variations in the assembly characteristics such as quasi-domain formation of closely packed layers. At an interface with a magnetic field applied in the plane of the interface, Brownian motion and Neel relaxation of the NPs are decisive for the layering and give raise to these domains. For a magnetic field oriented along the surface normal similar structural layering but denser packing is found. The self-assembly is a relatively slow process and evolves over hours and is maximized, most ordered and dense for superparamagnetic NPs which are single domain and having a large remanent moment and reduced thermal mobility. Small quantities of magnetic micelles in a hybrid magnetic polymer nanocomposite, facilitate the crystallization of Pluronic F127 micelles dissolved in water into single crystalline structures via a micro-shear effect under applied magnetic field. Also, a magnetic field applied to a colloidal dispersion of conducting magnetic and non-magnetic polystyrene microbeads suspended in an oil-based ferrofluid can lead to percolated structures. This allows current transmission and switching. A working contact for possible applications in automotive, switchboard and telecommunications is demonstrated.