With the increasing applications of magnetic robots in medical instruments, the research on different structures and locomotion approaches of magnetic robots has become a hotspot in recent years. A ferrofluid rolling robot (FRR) with magnetic actuation is proposed and enabled to realize a novel locomotion approach in this article. The drive performance of ferrofluid is elaborated, which is characterized by the magnetic torque of a rectangle-shaped object filled with ferrofluid under magnetic field. First, the proposed structure and locomotion mechanism of the FRR are detailed. Moreover, based on the established mathematical models of the FRR, the simulations with straight and turning locomotion are carried out, respectively. Finally, the FRR prototype is manufactured by 3-D printing, and experimental results demonstrate that the feasibility of straight and turning locomotion is verified. The locomotion performance of the FRR is in good agreement with the theoretical models where the root mean square (rms) value of displacement for experiments and simulations is 1.2 mm. In this work, the proposed FRR can automatically switch from straight to turning locomotion with a fast response in an external magnetic field, and does not has magnetism when without a magnetic field.