High entropy oxides (HEOs) have emerged as a unique platform in magnetism research, where maximized configurational entropy stabilizes single phase solid solutions despite extreme chemical disorder. This review systematically summarizes recent advances in the magnetic properties of HEOs across various crystal structures, including rocksalt, fluorite, spinel, perovskite, and several derivative structures. We first discuss the fundamental magnetic interactions in HEOs, emphasizing the competition among superexchange, double exchange, and antisymmetric exchange, all of which are strongly modulated by local lattice distortions and cation randomness. Then, we present a structure dependent analysis of magnetic behaviors. Rocksalt HEOs exhibit robust long-range antiferromagnetic order. Spinel HEOs show high temperature ferrimagnetism with strong tunability. Perovskite HEOs display complex spin glass behavior, exchange bias effects, and rare earth transition metal coupling. Fluorite HEOs host geometrically frustrated magnetism and short-range magnetic correlations. Key modulation strategies are evaluated, including composition engineering, epitaxial strain, magnetoionics, and electrochemical ion insertion. These approaches enable continuous control of magnetic transition temperature, saturation magnetization, and anisotropy. A central finding is that long range magnetic order can robustly coexist with local chemical randomness in HEOs, leading to unconventional states such as spin canting, non collinear spin textures, and reentrant spin glass behavior. The core innovation lies in decoupling key magnetic parameters from the constraints of conventional binary oxides, allowing property by design in a single-phase lattice. Future challenges include atomic scale characterization of short-range order, exploration of quantum spin liquid states in frustrated HEO lattices, and development of high performance magnetocaloric materials. This review provides valuable insights for entropy driven magnetic functional materials.