We have studied the influences of magnetic field, shear rate, and random forces on transport coefficients such as viscosity and diffusion coefficient, and also on the orientational distributions of hematite particles in a dilute colloidal dispersion. Hematite particles were modeled as spheroids with a magnetic moment normal to the particle axis, and they were assumed to perform rotational Brownian motion in a simple shear flow as well as an external magnetic field. The basic equation of the orientational distribution function was derived from the balance of the torques and solved by numerical analysis. The results obtained are summarized as follows. In a very strong magnetic field, the motion of the rod-like particles is restricted to the plane normal to the shearing plane because the magnetic moment of the particles is restricted to the magnetic field direction. In a relatively strong magnetic field, the rod-like particles can rotate freely around the magnetic field direction in the case of a small shear rate, whereas they tend to incline in the shear flow direction with the magnetic moment pointing in the magnetic field direction in the case of a large shear rate. Large values of the diffusion coefficient cannot be obtained in this case, since the orientational distribution is governed by two typical motions of the particles: firstly, particles move in the direction of the sedimentation with the particle axis coinciding with the direction of the sedimentation; and secondly, particles move with the axis normal to the sedimentation direction.