A number of animal species, including bacteria, arthropods, molluscs, fish, birds and mammals are known to be able to sense magnetic fields.

Animals use geomagnetic fields for navigational cues, yet the sensory mechanism underlying magnetic perception remains poorly understood. One idea is that geomagnetic fields are physically transduced by magnetite crystals contained inside specialized receptor cells, but evidence for intracellular, biogenic magnetite in eukaryotes is scant.

Source : PNAS January 18, 2022 119 (3)

For some varieties of bacteria, known as Magnetotactic bacteria, the ability is now quite well explained. But for mammals and birds, for example, there are currently no agreed explanations.

The largest issue affecting verification of an animal magnetic sense is that despite more than 40 years of work on magnetoreception there has yet to be an identification of a sensory receptor. Given that the entire receptor system could likely fit in a one-millimeter cube and have a magnetic content of less than one ppm ^{[part per million]}, it is difficult to discern the parts of the brain where this information is processed."

See Magnetoreception at Wikipedia.

Although there have been a large number of controlled studies intended to determine (or refute) the existence of magnetoreception in humans, the results have not been conclusive.

A 2019 study from Caltech and the University of Tokyo, however, appears to show marked differences in measurements of human brain alpha wavesplugin-autotooltip__plain plugin-autotooltip_bigElectroencephalography

Electroencephalography (EEG) is an electro-physiological non-invasive monitoring method to record electrical activity of the brain. Characteristic waveforms - e.g. the so-called Alpha-rhythm (sinusoidal-like waves with frequencies in 8–15 Hz range) - are believed to be produced by synchronous oscillations of very large groups of neurons. However, the underlying physiological mechanisms for the dynamic behaviour of the waveform sources themselves are for the most part unkn… in varying geomagnetic fields. It's important to note that the experimental subjects were not necessarily aware of the changes. See Transduction of the Geomagnetic Field as Evidenced from alpha-Band Activity in the Human Brain.

The report paper on the research ends :

Given the known presence of highly-evolved geomagnetic navigation systems in species across the animal kingdom, it is perhaps not surprising that we might retain at least some functioning neural components especially given the nomadic hunter/gatherer lifestyle of our not-too-distant ancestors. The full extent of this inheritance remains to be discovered.

Notes:

[1] Many organisms have been found to contain materials which are quite strongly magnetic - but in general this is thought to be co-incidental. Reference example Magnetite in Human Tissues: A Mechanism for the Biological Effects of Weak ELF Magnetic Fields- Bioelectromagnetics Supplement 1:101-113

[2] Recent research in CISS theoryplugin-autotooltip__plain plugin-autotooltip_bigCISS theory

The Chirality-Induced Spin Selectivity ( CISS ) effect was first discovered over two decades ago in the field of optical polarization. (ref.)

It was found that a fundamental quantum property of electrons - known as 'spin' - is strongly influenced by the 'chirality' i.e. 'handedness' of molecules. is motivating experimental research efforts to see if it may have implications for magnetoreception.

Also see: Pigeon navigationplugin-autotooltip__plain plugin-autotooltip_bigAvian navigation

Many species of birds can very reliably navigate over large distances, even from places they have never been to, and return to their desired destination, often over hundreds or even thousands of kilometres.

Homing pigeons, for example, can very consistently find their way back to their adopted roosting place - even when they have been physically removed hundreds of kilometres away - and often without any knowledge of the removal route.