Novel spintronic devices with low power consumption, nonvolatility, and high storage density are highly desired to meet the rapid development of modern information storage and communication technology, which poses a great challenge to both material and device researches. To overcome this challenge, our group has focused our research on the following two aspects. On one hand, we have explored novel magnetoresistance effects in a variety of materials and devices, aiming to get a deep understanding about the spin dependent transport and obtain an effective control of spin-dependent transport. On the other hand, we have tried to control the magnetoresistance based on multi-physical field effects, aiming to obtain spintronic prototype devices that can be used for multi-state data storage. Regarding the novel magnetoresistance explorations, this article will introduce: (1) The negative magnetoresistance in amorphous condensed magnetic semiconductors. The spin dependent variable range hopping model is proposed, which can quantitatively explain the temperature and magnetic field dependent transport behavior in the condensed magnetic semiconductors. In addition, this model provides an alternative way to detect the spin polarization ratio of the magnetic semiconductors. (2) The positive magnetoresistance in single-crystal CoZnO magnetic semiconductors. By quantitative analysis of the transport properties of CoZnO films, it is observed that the positive magnetoresistance in the “hard gap” regime is the result of the carrier wavefunction shrinkage under applied magnetic field. (3) The rectification magnetoresistance in non-magnetic Schottky heterojunctions and the tunneling rectification magnetoresistance in magnetic tunnel junctions. A brand new rectification magnetoresistance is observed in nonmagnetic Al/Ge Schottky heterojunctions: The application of a pure small sinusoidal alternating current to the nonmagnetic Schottky heterojunctions can generate a significant direct-current voltage, and this rectification voltage strongly varies with the external magnetic field. Moreover, by using CoO-ZnO composite tunneling barrier, the charge-related rectification and spin-dependent tunneling magnetoresistance are integrated into the Co/CoO-ZnO/Co magnetic tunneling junctions to realize the tunneling rectification magnetoresistance. The observation of rectification magnetoresistance and tunneling rectification magnetoresistance not only adds new members to the magnetoresistance family, but also provides a promising way to control the devices’ properties by using alternating current. In terms of multistate data storage application, this review will introduce: (1) The electrical and magnetic field controllable 4 resistance states in oxide heterojunctions. In Co/CoO-ZnO/Co magnetic tunneling junctions, by integrating the electrical field induced resistance switching and the magnetic field induced tunneling magnetoresistance effects, four nonvolatile resistance states are demonstrated. (2) The remanent magnetization controllable 10 resistance states in magnetic heterojunctions. Here, a general remanent magnetism engineering method is proposed for realizing multiple reliable magnetic and resistance states, not depending on a specific material or device structure. Especially, as a proof-of-concept demonstration, ten states of nonvolatile memory based on the manipulation of ferromagnetic remanent magnetization have been revealed in both Co/Pt magnetic multilayers with strong perpendicular magnetic anisotropy and MgO-based magnetic tunneling junctions at room temperature. (3) The spin-orbit torque controllable 10 resistance states in single-layer magnetic alloy. A repeatable bulk spin-orbit torque switching of the perpendicularly magnetized CoPt alloy single-layer films is realized by introducing a composition gradient in the thickness direction to break the inversion symmetry. Moreover, a ten states nonvolatile memory is illustrated solely by changing the electrical current to control the multi-domain states of the CoPt alloy.