A simple and effective method has been developed to coat soft ferromagnetic particles (e.g., FeCo alloy) with a thin (1–3 nm) CoFe2O4 or NiFe2O4 layer. A general tendency of coercivity enhancement after the ferrites coating has been observed, which we ascribe to the exchange coupling between the ferromagnetic core and the ferrimagnetic coating shell. Using explosion compaction technique, the ferrite-coated particles were compacted into fully dense bulk material with density very close to the ideal value. The impedance of the compacted sample was measured in the frequency range of 1 kHz–100 MHz. The real part of measured impedance for our compacted sample is very high and decreases with increasing frequency much slower than a standard ferrite sample in the range of 35 kHz–4.2 MHz. While the hysteresis loops at 5 K for free-standing ferrite-coated particles cooled under 5 T field show a few tens Oe shift in the negative field direction indicating a typical antiferromagnetic-like exchange coupling behavior, the compacted bulk materials give symmetrical hysteresis loops in both field or zero-field cooling. This may be understood in the context of exchange coupling in random anisotropic systems. Our results are promising for high frequency magnetic devices applications.