Magnetic hydrogel actuators exhibit promising applications in the fields of soft robotics, bioactuators, and flexible sensors owing to their inherent advantages such as remote control capability, untethered deformation and motion control, as well as easily manipulable behavior. However, it is still a challenge for magnetic hydrogels to achieve adjustable stiffness and shape fixation under magnetic field actuation deformation. Herein, a simple and effective approach is proposed for the design of magnetic shape memory hydrogels to accomplish this objective. The magnetic shape memory hydrogels, consisting of methacrylamide, methacrylic acid, polyvinyl alcohol and Fe3O4 magnetic particles, which crosslinked by hydrogen bonds, are facilely prepared via one-pot polymerization. The dynamic nature of noncovalent bonds offers the magnetic hydrogels with excellent mechanical properties, precisely controlled stiffness, and effective shape fixation. The presence of Fe3O4 particles renders the hydrogels soft when subjected to an alternating current field, facilitating their deformation under the influence of an actuation magnetic field. After the elimination of the alternating current magnetic field, the hydrogels stiffen and attain a fixed actuated shape in the absence of any external magnetic field. Moreover, this remarkable magnetic shape memory hydrogel is effectively employed as an underwater soft gripper for lifting heavy objects. This work provides a novel strategy for fabricating magnetic hydrogels with non-contact reversible actuation deformation, tunable stiffness and shape locking.