As an ultrastable material, single‐crystal diamond (SCD) has been proven to have extraordinary reliability in the application of microelectromechanical systems (MEMS). To satisfy the requirements of high sensitivity and high stability of magnetic sensors, SCD MEMS resonators integrated with TbDyFe thin film are successfully fabricated by radio‐frequency magnetron sputtering. The device is thermally stable and the sensing performance is improved after annealing at 550 °C for 3 h. A high magnetic sensitivity of 5.34 Hz mT−1 is achieved. The estimated minimum detectable force reaches 1.65 × 10−14 N due to the advantage of giant magnetostriction of the TbDyFe thin film. The realization of SCD MEMS magnetic sensor demonstrates a visible progress in the field of magnetic sensing and indicates a foreseeable potential of SCD MEMS in the application of fast, small, and energy‐efficient sensors.