Over the past 25 years, magnetic actinide complexes have been the object of considerable attention, not only at the experimental level, but also at the theoretical one. Such systems are of great interest, owing to the well-known larger spin–orbit coupling for actinide ions, and could exhibit slow relaxation of the magnetization, arising from a large anisotropy barrier, and magnetic hysteresis of purely molecular origin below a given blocking temperature. Furthermore, more diffuse 5f orbitals than lanthanide 4f ones (more covalency) could lead to stronger magnetic super-exchange. On the other hand, the extraordinary experimental challenges of actinide complexes chemistry, because of their rarity and toxicity, afford computational chemistry a particularly valuable role. However, for such a purpose, the use of a multiconfigurational post-Hartree-Fock approach is required, but such an approach is computationally demanding for polymetallic systems—notably for actinide ones—and usually simplified models are considered instead of the actual systems. Thus, Density Functional Theory (DFT) appears as an alternative tool to compute magnetic exchange coupling and to explore the electronic structure and magnetic properties of actinide-containing molecules, especially when the considered systems are very large. In this paper, relevant achievements regarding DFT investigations of the magnetic properties of actinide complexes are surveyed, with particular emphasis on some representative examples that illustrate the subject, including actinides in Single Molecular Magnets (SMMs) and systems featuring metal-metal super-exchange coupling interactions. Examples are drawn from studies that are either entirely computational or are combined experimental/computational investigations in which the latter play a significant role.