This critical review provides an overview of current research activities that focused on the synthesis and application of multi-functional gold and iron oxide (Au–Fe_xO_y) hybrid nanoparticles and nanocomposites. An introduction of synthetic strategies that have been developed for generating Au–Fe_xO_y nanocomposites with different nanostructures is presented. Surface functionalisation and bioconjugation of these hybrid nanoparticles and nanocomposites are also reviewed. A variety of applications such as theranostics, gene delivery, biosensing, cell sorting, bio-separation, and catalysis is discussed and highlighted. Finally, future trends and perspectives of these sophisticated nanocomposites are outlined. Underpinning the fundamental requirements for effectively forming Au–Fe_xO_y hybrid nanocomposite materials would shed light on future development of nanotheranostics, nanomedicines, and chemical technologies. It would be interesting to investigate such multi-component composite nanomaterials with different novel morphologies in the near future to advance chemistry, biology, medicine, and engineering multi-disciplinary research (120 references).