A hybrid luminescent-magnetic nanostructure based on graphene oxide, magnesium ferrite, and CdTe quantum dots (QDs) was synthesized (GO@MgFe2O4–TMSP–CdTe nanocomposite). The surface of the GO was coated with ferrite nanoparticles using a co-precipitation method. Subsequently, the nanocomposite was linked to CdTe QDs using a TMSP ligand. The structural, optical, and magnetic properties of the nanostructure were investigated. Moreover, the real and imaginary components of the refractive index and dielectric function were assessed using the Kramers–Kronig method based on FTIR spectroscopy across the 500–4000cm−1−1 spectral range. As a result, the transversal optical and longitudinal optical phonon modes were identified at 436cm−1−1 and 600cm−1−1, respectively. Furthermore, this study utilized the Z-scan technique to investigate the nonlinear thermo-optical responses of the prepared sample. The sample’s nonlinear behavior was examined at various laser intensities, revealing significant nonlinear thermo-optical responses in the visible spectrum. The nonlinear absorption coefficient is a result of the two-photon absorption effect, while the nonlinear refractive indices indicate the self-defocusing effect, under varying laser powers. Moreover, the assessment of the figure of merit indicates the potential for the use of this sample in optical switches, based on the experimental results.