• Summary of the state-of-the-art soft magnetic materials and applications in power electronics. • Characteristics of oxide-based, metal-insulator, and insulator-insulator type composites. • Overview on thermodynamics and kinetics of self-assembled nanocomposites. • Microstructure engineering of soft magnetic composites based on traditional and advanced powder processing techniques. Oxide-based nanocomposites have potential to offer much higher switching frequencies compared with state-of-the-art soft magnetic materials for applications in power electronics. However, scalable techniques for synthesizing high performance bulk oxide-based nanostructured and nanocomposite systems with superior performance compared to traditional materials are limited. This review aims at identifying existing and potential opportunities for the development of high performance nanocomposite systems through microstructure engineering specific to soft magnetic property optimization by traditional processing routes. The review begins with general introduction about soft magnetic properties of different classes of materials, followed by a detailed description of crystal structures and the underlying physics responsible for their magnetic performance. These include; soft ferrites, bulk crystalline alloys, metal-amorphous nanocomposites, and metal-oxide nanocomposites of various nature such as metal-insulator and insulator-insulator type composites. An overview on powder metallurgy techniques is provided and aspects relevant to optimizing the balance between competing requirements of high effective electrical resistivity to mitigate eddy current losses and high saturation magnetization are highlighted.