Exchange coupling is observed in the (Nd, Dy)–(Fe, Co)–B/α-Fe films with perpendicular magnetic anisotropy, with a maximum energy product (BH)max of 16.2 MGOe and a coercivity iHc of 11.2 kOe. The existence of soft α-Fe in the films is verified by the two-step reversal process at low temperatures and x-ray diffraction as well as x-ray photoelectron spectroscopy analysis. In comparison with its single-phase counterpart, the anisotropic (Nd, Dy)–(Fe, Co)–B/α-Fe film displays a more inhomogeneous magnetic-domain structure. The aligned nanocomposite film demonstrates anisotropic demagnetization behaviour, with the homogeneous reversal process becoming inhomogeneous as the field deviates from perpendicular to parallel to the film plane.