There is a great deal of interest in functional materials containing magnetite (Fe3O4) due to their several advanced applications (e.g. lithium–ion batteries, wastewater treatment and drug delivery) of these materials. Recently, the ability of magnetic composite materials to operate as reliable strain sensors has attracted particular attention because of their unique mechanical and magnetic properties. Polyester polymer composites reinforced with magnetite Fe3O4 micro- and nano-particles have been prepared at different particle loading levels, presenting magnetic properties. Nanoindentation technique is performed in order to study the local mechanical behavior of composites, taking into account stiffness correction after the creep deformation stage. In order to evaluate the effect of Fe3O4 particles on bulk mechanical response, dynamic mechanical thermal analysis (DMTA) is used. The glass transition temperature (Tg) of the polyester filled with nanoparticles has shifted to higher temperature, as shown from the DMTA, in comparison with the composites filled with microparticles. The low concentration of particles in the micro-composites displayed enhanced reduced modulus, hardness and shear storage modulus, compared with that of pure polyester and nano-composites. Magnetic flux density–strain experiments confirmed the good strain sensitivity of the above materials.