This paper is devoted to investigate the heat trace asymptotic expansion corresponding to the magnetic Steklov eigenvalue problem on Riemannian manifolds with boundary. We establish an effective procedure, by which we can calculate all the coefficients $a_0$, $a_1$, $dots$, $a_{n-1}$ of the heat trace asymptotic expansion. In particular, we explicitly give the expressions for the first four coefficients. These coefficients are spectral invariants which provide precise information concerning the volume and curvatures of the boundary of the manifold and some physical quantities by the magnetic Steklov eigenvalues.