FeSiBCuNb powders prepared by the gas atomization method generally exhibit a wide particle size distribution and a high degree of sphericity. In addition, the correspondingly prepared nanocrystalline soft magnetic composites (NSMCs) perform good service stability. In this paper, effects of the gas-atomization pressure and annealing temperature on the microstructure and soft magnetic properties of FeSiBCuNb powders and NSMCs are investigated. The results show that the powders obtained by a higher gas-atomization pressure possess a larger amorphous ratio and a smaller average crystallite size, which contribute to the better soft magnetic performance of the NSMCs. After being annealed at 550 °C for 60 min, the NSMCs show a much better performance than those treated by the stress-relief annealing process under 300 °C, which indicates that the optimization of the soft magnetic properties resulting from the precipitation of the α-Fe(Si) nanocrystalline largely overwhelms the deterioration caused by the grain growth of the pre-existing crystals. In addition, the annealed NSMCs prepared by the powders with the gas-atomization pressure of 4 MPa show the best performance in this work, μe = 33.32 (f = 100 kHz), Hc = 73.08 A/m and Pcv = 33.242 mW/cm3 (f = 100 kHz, Bm = 20 mT, sine wave).