Sneak attack's damage type is the same as the weapon used to deliver the attack
Sneak Attack says:
Once per turn, you can deal an extra 1d6 damage to one creature you hit with an attack if you have advantage on the attack roll. The attack must use a finesse or a ranged weapon.
All the ability does it take the original source of damage and add more damage to it. It is still considered one attack and one source of damage. And the thing that determines the damage type of an attack/source of damage is whatever caused that attack. In most cases of sneak attack, that is the weapon used to deliver the attack.
Jeremy Crawford has confirmed this is intended here:
Q: hey mr.crawford can rogue sneak attack get reduced with type resistance?
A: Sneak Attack damage is meant to be of the type that's dealt by the weapon, and it's subject to resistance.
Sneak Attack relies entirely on the weapon you're using. The weapon sets the damage type of the extra damage, and the weapon determines whether you can Sneak Attack at all; the weapon must be in the ranged category or have the finesse property.
So it should be abundantly clear by RAW and RAI that sneak attack is the same damage type as the weapon you use.
If the attack is magical then Sneak Attack damage also counts as part of a magical attack
"Magic" is not a damage type. In fact, the only thing that matters is if the attack itself is considered magical and only then for the purposes of bypassing resistance to attacks that aren't magical.
Some creatures have vulnerability, resistance, or immunity to certain types of damage. Particular creatures are even resistant or immune to damage from nonmagical attacks (a magical attack is an attack delivered by a spell, a magic item, or another magical source). (Basic Rules, p. 112)
So, if you are dealing sneak attack damage as part of a magical attack, the damage from sneak attack is considered part of that.