Disclosed herein is a method of manufacturing sialon having magnetic properties, including: mixing silicon nitride, aluminum nitride, alumina and rare-earth oxide to form a mixture; and sintering the mixture in a nitrogen atmosphere, wherein the resulting sialon has a saturation magnetization value ranging from 0.15 to 0.24 emu/g. In the method, iron (Fe) is added to the mixture to form iron silicide, thus improving the magnetic properties of the sialon. The method is advantageous in that it can be applied to fields requiring electromagnetic materials such as high-speed transmission transformer cores, electromagnet cores and the like, and magnetic properties are additionally imparted to sialon having excellent structural properties, so that it is expected that it will be widely used in the future.