In order to improve drawbacks such as sedimentation of magnetic particles and abrasion of the magnetorheological (MR) fluid, we have fabricated Fe3O4/poly(methyl methacrylate) (PMMA) composite particles via a double miniemulsion method and studied their MR properties. Morphology and chemical composition of the synthesized Fe3O4/PMMA composite particles were investigated by transmission electron microscopy and Fourier transform infrared, respectively. The density of the Fe3O4/PMMA composite particles was measured to be lower than that of the as-synthesized Fe3O4 particles, indicative of an improvement of the composite particles to stay dispersed. Rheological characteristics of the Fe3O4/PMMA based MR fluid dispersed in a nonmagnetic carrier fluid were measured by both static and dynamic tests using a rotational rheometer under an external magnetic field. Shear stress, yield stress, and storage modulus from the rheological measurements were obtained to be increased with applied magnetic field strengths.