The application of magnetic fields in inertial fusion experiments has led to renewed interest in fully understanding magnetised transport in laser-plasma regimes. This motivated the development of a new laser magnetohydrodynamic code PARAMAGNET, written to support investigations into classical magnetised transport phenomena and laser propagation in a plasma. This code was used to simulate laser-underdense plasma interactions such as the pre-heat stage of magneto-inertial fusion. Alongside these simulations, this thesis will present analytic focusing and filamentation models derived from magnetohydrodynamics extended with classical magnetised transport coefficients. These results showed the focal length and filamentation growth length shortened with magnetisation, a result of the magnetisation of the thermal conductivity. Further investigation of the transport properties using the diffusion approximation kinetic code IMPACT showed significant deviation of the growth rate at intermediate values of magnetisation and non-locality, inexplicable using fluid models. The kinetic code result motivated exploring the influence of the high-order anisotropies of the distribution function (in terms of spherical harmonics), ignored in conventional approximations. By using a recursive matrix inverse method, corrections to the transport coefficients including all orders of the electron distribution expansion were found. Analysis of the conductivity, resistivity and thermoelectric coefficients showed deviation by up to 50% from the classical form at intermediate magnetisation and nonlocality. The diffusive approximation of the IMPACT simulations was insufficient to capture the transport behaviour present in the theoretical high order calculation. Modern inertial fusion experiments work in regimes that are non-local and susceptible to significant focusing exacerbated by magnetisation. The resulting filamentation has detrimental implications to laser absorption and the modified non-local transport behaviour is a possible source of error in simulations. The complex interplay between non-locality and magnetisation in transport suggests using more terms of the spherical harmonic expansion in closures of plasma equations. Particular consideration is given to the implications to inertial fusion experiments. Together these results suggest the necessity of including non-local magnetised transport in the modelling of high-energy-density laser plasma experiments.