Additive manufacturing (AM) is an attractive set of processes that are being employed lately to process specific materials used in the fabrication of electrical machine components. This is because AM allows for the preservation or enhancement of their magnetic properties, which may be degraded or limited when manufactured using other traditional processes. Soft magnetic materials (SMMs), such as Fe–Si, Fe–Ni, Fe–Co, and soft magnetic composites (SMCs), are suitable materials for electrical machine additive manufacturing components due to their magnetic, thermal, mechanical, and electrical properties. In addition to these, it has been observed in the literature that other alloys, such as soft ferrites, are difficult to process due to their low magnetization and brittleness. However, thanks to additive manufacturing, it is possible to leverage their high electrical resistivity to make them alternative candidates for applications in electrical machine components. It is important to highlight the significant progress in the field of materials science, which has enabled the development of novel materials such as high-entropy alloys (HEAs). These alloys, due to their complex chemical composition, can exhibit soft magnetic properties. The aim of the present work is to provide a critical review of the state-of-the-art SMMs manufactured through different AM technologies. This review covers the influence of these technologies on microstructural changes, mechanical strengths, post-processing, and magnetic parameters such as saturation magnetization (MS), coercivity (HC), remanence (Br), relative permeability (Mr), electrical resistivity (r), and thermal conductivity (k).