Nonlinearities in multimode mechanical systems can give rise to rich dynamical phenomena with great potential for sensing applications and for future quantum experiments. We demonstrate that the coupled center-of-mass and rotational motion of a Meissner-levitated micromagnet offer a promising platform for nonlinear dynamics, combining low dissipation, magnetic tunability, strong intrinsic Duffing nonlinearities, and nonlinear intermodal couplings. We use this tunability to demonstrate the generation of a mechanical frequency comb in the micromagnet dynamics, realized by parametric excitation of two translational modes followed by cascaded nonlinear frequency mixing, which produces a phononic comb with tunable spacing. At large amplitudes, nonlinear coupling to a low-frequency librational mode of the magnet leads to parametric excitation and phase locking of that mode, generating a dense spectral fine structure at subharmonics of the drive. These results establish levitated micromagnets as a platform for nonlinear multimode mechanics, with potential applications in precision sensing and quantum-limited metrology.