The aim of this article focuses on identifying how the addition of iron micro- and nanoparticles influences the physical properties of magnetorheological composite materials developed with a polydimethylsiloxane (PDMS) matrix with different contents of silicone oil used as additive. A number of characterization techniques have been performed in order to fully characterize the samples, such as cyclic and uniaxial extension, rheology, swelling, Vibrating sample magnetometer (VSM), X-ray Diffraction (XRD), Scanning electron microscopy (SEM), Fourier-Transform Infrared (FTIR), X-ray photoelectronic spectroscopy (XPS) and Thermogravimetric analysis (TGA). The comparison between two matrices with different shore hardnesses and their mechanical and chemical properties are elucidated by swelling and tensile tests. In fact, swelling tests showed that higher crosslink density leads to increasing elongation at break and tensile strength values for the composite materials. The best mechanical performance in the magnetorheological material was observed for those samples manufactured using a higher silicone oil content in a hard polymeric matrix. Furthermore, it has been found that the magnetic properties are enhanced when nanoparticles are used as fillers instead of microparticles.