Nanostructured permanent magnetic materials, including exchange-coupled nanocomposite permanent magnets, are considered as the next generation of high-strength magnets for future applications in energy-saving and renewable energy technologies. However, fabrication of bulk nanostructured magnets remains very challenging because conventional compaction and sintering techniques cannot be used for nanostructured bulk material processing. In this paper we review recent efforts at producing bulk nanostructured single-phase and composite magnetic materials with emphasis on grain size control, anisotropy generation and interface modification.