Significant amounts of smelting slag are generated during the production of steel, refined copper, and refined magnesium. These slags contain abundant valuable metallic elements, such as Fe, Cu, Zn, Co, and Mg, that have not been fully utilized in the past. This study proposes a method for modifying copper slag by mixing it with steel slag and magnesium slag, followed by roasting with additions of Fe₂O₃ and MgO. The samples were roasted at 1400 °C for 30 min, cooled to 1000 °C at 1.5 °C/min, and then water-quenched to room temperature. Phase transformations during modification were analyzed using FactSage 8.0, DSC–TG, and XRD. The effects of factors such as the content of Fe₂O₃ and MgO on the modification efficiency were investigated. The results indicate that, under the condition of maintaining a steel slag: copper slag: magnesium slag ratio of 37:37:26 and adjusting the basicity (CaO/SiO₂ ratio) with CaO to 2.0, the addition of Fe₂O₃ and MgO promotes the formation of spinel. However, excessively high contents of Fe₂O₃ and MgO lead to refinement of the spinel grains and reduce the iron grade of the concentrate. Within the investigated composition range, the samples with total Fe₂O₃ and MgO contents of 27.66 wt% and 7.56 wt%, respectively, showed the best magnetic separation performance among the tested compositions. Through magnetic separation, the concentrate has good economic and industrial application value in industries such as steelmaking and powder metallurgy, while the tailings can be utilized as raw materials for manufacturing ceramics, glass–ceramics, cement, and concrete.