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We systematically study holographic effects on the magnetic field dependence of the drag force, diffusion coefficient, jet quenching parameter of heavy quarks, and the shooting string energy loss of light quarks in the RHIC and LHC energy regions by using the AdS/CFT correspondence in this paper. This study is motivated by the phenomena of a strong magnetic field and jet quenching, which have been found in relativistic heavy ion collisions. The probe's direction of motion is perpendicular and parallel to the direction of magnetic field B. The effects of a magnetic field on energy loss when moving perpendicular to the magnetic field direction are larger than moving parallel to the magnetic field direction, which implies that the magnetic field tends to suppress more quarks and jets when moving in the transverse direction than in the parallel direction. It is found that the diffusion coefficient decreases with the magnetic field in the transverse direction, but increases with the magnetic field in the parallel direction, which indicates that the quark may diffuse farther when moving parallel to the magnetic field direction. We also find that the magnetic field will enhance the energy loss of the light quarks when moving in the transverse direction than in the parallel direction. [ABSTRACT FROM AUTHOR]