Honestly, a lot of the stuff in the general 'paranormal romance' section these days leans too heavily on the romance part and treats the fantasy elements like interchangeable wallpaper. If you want actual magical adventure woven into the erotic fantasy, you have to look for authors who treat their worldbuilding with some seriousness. Nalini Singh’s Guild Hunter series is a solid example—the relationship between Elena and Raphael develops alongside massive, world-altering conflicts with archangels and ancient vampires. The stakes feel real, and the magic system has rules, which makes the romantic moments feel earned, not just inserted.
I’d also point toward C.L. Wilson’s 'The Winter King.' It’s often shelved as romance, but the plot involves a frozen kingdom, a war with a rival nation, and a heroine who has to master her own storm magic to survive. The romantic and erotic elements are intense, but they’re part of a larger quest narrative. Some of the early Kresley Cole Immortals After Dark books function this way too—'A Hunger Like No Other' sends the characters on a literal chase across continents while dealing with lykae curse lore and Valkyrie politics. The adventure isn’t just a backdrop; it’s the engine driving the characters together (or apart).
For a more recent take, Grace Draven’s 'Radiance' builds a slow-burn relationship through a political alliance between two non-human races, and the exploration of their differing magics and cultures is the whole point. The erotic payoff is delayed but satisfying because it feels rooted in a shared, fantastical journey.