A new high-frequency magnetic diagnostic system is designed, installed, and calibrated in the Sino-United Spherical Tokamak (SUNIST) to investigate Alfvén waves (AWs). The system consists of a fixed toroidal array and a movable radial array of high-frequency magnetic probes (HFMPs) with 21 and 60 probes, respectively. Based on the method of vacuum enameled wire wound on ceramic bobbins, the fixed toroidal array is located as near as possible to the plasma and carefully shielded to reduce the attenuation of high-frequency magnetic field. Meanwhile, by using the technology of commercial chip inductors mounted on printed circuit boards, the movable radial array is inserted into a thin quartz tube that allows positioning along radial direction. A Helmholtz coil is utilized to calibrate the effective areas as well as the frequency response of each HFMP. The calibration results are consistent with the calculated results of an equivalent probe-and-cable circuit model. High-frequency magnetic signals related to AW are detected with these HFMPs. These HFMPs are expected to play a key role in analyzing Alfvén eigenmodes excited by AW antenna in the SUNIST.