In recent years, iron oxides-based nanostructured composite materials are of particular interest for the preparation of multifunctional thin films and membranes to be used in sustainable magnetic field adsorption and photocatalysis processes, intelligent coatings, and packing or bio-medical applications. In this paper, superparamagnetic iron oxide (core)-silica (shell) nanoparticles suitable for thin films and membrane functionalization were obtained by co-precipitation and ultrasonic-assisted sol-gel methods. The comparative/combined effect of the magnetic core co-precipitation temperature (80 and 95 °C) and ZnO-doping of the silica shell on the photocatalytic and nano-sorption properties of the resulted composite nanoparticles were investigated by ultraviolet-visible (UV-VIS) spectroscopy monitoring the discoloration of methylene blue (MB) solution under ultraviolet (UV) irradiation and darkness, respectively. The morphology, structure, textural, and magnetic parameters of the investigated powders were evidenced by scanning electron microscopy (SEM), X-ray diffraction (XRD), Raman spectroscopy, Brunauer–Emmett–Teller (BET) measurements, and saturation magnetization (vibrating sample magnetometry, VSM). The intraparticle diffusion model controlled the MB adsorption. The pseudo- and second-order kinetics described the MB photodegradation. When using SiO2-shell functionalized nanoparticles, the adsorption and photodegradation constant rates are three–four times higher than for using starting core iron oxide nanoparticles. The obtained magnetic nanoparticles (MNPs) were tested for films deposition.