Herein, a novel type of binary-metal-oxide-coated magnetic microspheres—titanium dioxide-zirconium dioxide-coated magnetic Fe₃O₄ microspheres (Fe₃O₄@TiO₂–ZrO₂)—were prepared and employed to selectively capture phosphopeptides for the first time. The synthesized Fe₃O₄@TiO₂–ZrO₂ magnetic functional microspheres were characterized by scanning electron microscopy (SEM), transmission electron microscopy (TEM), energy-dispersive X-ray (EDX) spectroscopy, Fourier transform infrared (FTIR) spectroscopy, X-ray diffraction (XRD), N₂ adsorption–desorption technique and magnetic measurements. Experimental conditions for trapping phosphopeptides were optimized by using β-casein as the standard protein. Under the optimal conditions, the mixture of β-casein and bovine serum albumin (BSA) with different proportions was considered as the semi-complex sample and non-fat milk as the real biological sample to evaluate the capability for trapping phosphopeptides. The results revealed that Fe₃O₄@TiO₂–ZrO₂ not only concentrated more phosphopeptides than Fe₃O₄@TiO₂ or Fe₃O₄@ZrO₂, but also enriched both the monophosphopeptides and multiphosphopeptides efficiently. The detection limit of this approach for the enrichment of phosphopeptides by Fe₃O₄@ZrO₂–TiO₂ microspheres from the tryptic products of β-casein was 500 pM (500 μL).