The Universal Monster Rules defines Immunity like this:
Immunity (Ex or Su)
A creature with immunities takes no damage from listed sources. Immunities can also apply to afflictions, conditions, spells (based on school, level, or save type), and other effects. A creature that is immune does not suffer from these effects, or any secondary effects that are triggered due to an immune effect.
Format: Immune acid, fire, paralysis; Location: Defensive Abilities.
But in general, Yes.
The abilities that golems in general got is called Immunity to Magic, and behave different from the universal monster ability:
An iron golem is immune to spells or spell-like abilities that allow spell resistance. Certain spells and effects function differently against it, as noted below.
For those creatures, all spells that does not allow spell resistance affect them as if they had no immunity at all. Also, each golem type has a different set of spells that can affect them, regardless of their immunity (listed on each golem's entry).
As far as i know, there is no creature that is Immune to Magic without an exception, but if the specific creature's entry did not mention except those that allow spell resistance, by the definition on the Universal Monster Rules, the creature would be immune to all Supernatural, Spell-like and Spells based on Magic.