He's Jewish, and a Holocaust survivor. It's central to the character's backstory from nearly the beginning. https://en.wikipedia.org/wiki/Magneto_(Marvel_Comics)

And it's in the opening scene of the first X-Men movie (2000). https://www.youtube.com/watch?v=dI7SEIKaKwE

And is a recurring theme in others. https://www.youtube.com/watch?v=XY2eW2cXcNg https://www.youtube.com/watch?v=eu8g3Z2Hles