Many astrophysical plasmas and some laboratory plasmas are relativistic: either the thermal speed or the local bulk flow in some frame approaches the speed of light. Often, such plasmas are magnetized in the sense that the Larmor radius is smaller than any gradient scale length of interest. Conventionally, relativistic MHD is employed to treat relativistic, magnetized plasmas; however, MHD requires the collision time to be shorter than any other time scale in the system. Thus, MHD employs the thermodynamic equilibrium form of the stress tensor, neglecting pressure anisotropy and heat flow parallel to the magnetic field. We re-examine the closure question and find a more complete theory, which yields a more physical and self-consistent closure. Beginning with exact moments of the kinetic equation, we derive a closed set of Lorentz-covariant fluid equations for a magnetized plasma allowing for pressure and heat flow anisotropy. Basic predictions of the model, including its thermodynamics and the dispersion relation's dependence upon relativistic temperature, are examined. Further, the model is applied to two extant astrophysical problems. / text