Three-dimensional nanostructured magnetic materials have recently been the topic of intense interest since they provide access to a host of new physical phenomena. Examples include new spin textures that exhibit topological protection, magnetochiral effects and novel ultrafast magnetic phenomena such as the spin-Cherenkov effect. Two-photon lithography is a powerful methodology that is capable of realising 3D polymer nanostructures on the scale of 100 nm. Combining this with postprocessing and deposition methodologies allows 3D magnetic nanostructures of arbitrary geometry to be produced. In this article, the physics of two-photon lithography is first detailed, before reviewing the studies to date that have exploited this fabrication route. The article then moves on to consider how non-linear optical techniques and post-processing solutions can be used to realise structures with a feature size below 100 nm, before comparing two-photon lithography with other direct write methodologies and providing a discussion on future developments.