Magnetorheological fluid (MRF) as a kind of field-responsive colloidal suspension has attracted widespread attention due to its tunable mechanical properties, in which the microstructure evolution under different magnetic fields plays an important role in these properties. However, it is an enormous challenge to exactly understand the microstructure and mechanical properties using all-atomic molecular dynamics methods owing to the huge computational cost and storage in the computer. In this work, a unique coarse-grained (CG) model of MRF is presented to study the microstructure evolution of MRF at the nanoscale. The CG potential functions of carrier liquid for MRF CG models are obtained based on the iterative Boltzmann inversion method, and the CG nonbonded interaction between the magnetic particles (MPs) is constructed via the strain energy conservation. Then, the microstructure evolutions of MRF under different magnetic fields are studied using CG molecular dynamics (CGMD). We demonstrate the existence of a carrier liquid adsorption layer on the MPs surface, and the staggered arrangement style of MPs in the chains under different magnetic fields is also revealed. The present MRF CG model has fully considered the carrier liquid molecular structure and interaction with the MPs, and the CGMD is used to solve the problem that classical molecular dynamics cannot simulate the microstructure of MRF, making the simulation results more in line with the actual situation.