Herein, detailed studies on the influence of stress annealing on the magnetic softness and giant magnetoimpedance (GMI) ratio of Co69.2Fe3.6Ni1B12.5Si11Mo1.5C1.2 glass‐coated microwires are provided. As‐prepared microwire presents linear hysteresis loops, moderate GMI ratio with double‐peak magnetic field dependence and low coercivity (4 A m−1), typically observed for wires with transverse magnetic anisotropy. However, after conventional annealing magnetic hardening and transformation of linear hysteresis loop into rectangular with coercivity about 90 A m−1 is surprisingly observed. It is shown that stress annealing allows preventing magnetic hardening and remarkably improving GMI ratio. Properly stress‐annealed samples present better magnetic softness: almost unhysteretic loops with coercivity about 2 A m−1 and magnetic anisotropy field about 35 A m−1. Observed stress‐annealing‐induced anisotropy is affected by the tensile stresses, applied during annealing and by the annealing temperature. From the frequency dependence of the maximum GMI ratio, the optimum frequency ranges for as‐prepared and stress‐annealed samples are determined. The observed stress‐annealing‐induced magnetic anisotropy and associated changes in magnetic properties and GMI effect are discussed in terms of internal stresses relaxation and related modification of the magnetostriction coefficient, “back stresses,” structural anisotropy, redistribution of internal stresses, and change of spatial distribution of magnetic anisotropy.