The processing, structures and phase constitutions and the magnetic properties of nanocomposite hard magnetic alloys are reviewed. The emphasis is on rare earth (RE)–iron–boron alloys in which the hard magnetic phase RE2Fe14B is intermixed with one or more soft magnetic phases. Processing–structure–property relationships are the principal focus, in particular, the role of the hard and soft nanocrystallite dimensions in promoting intergrain ferromagnetic exchange coupling and the consequent enhancement of remanent magnetisation and the technologically important maximum energy density. The powder processing, chill block melt spinning, mechanical alloying and thin film deposition routes to develop nanocrystalline and nanocomposite structures are reviewed. The coercivity mechanism in ultrafine grained alloys and the influence of crystallite dimensions are discussed, as are the effects on intrinsic and extrinsic properties of RE substitutions, replacement of iron by other transition metals and enrichment of the boron content. Exchange enhancements in Sm–Co based nanocomposite bulk alloys and in nanoscale FePt/ α-Fe composite thin films are briefly considered, together with thin film materials involving exchange coupling between ferromagnetic and antiferromagnetic phases, in core–shell type structures of transition metal compounds surrounded by oxides and in mechanically alloyed materials. The processing and magnetic properties of bonded magnets based on nanocrystalline/nanocomposite REFeB alloys are discussed. The possibility of producing anisotropic hard/soft composites with properties approaching the theoretical maximum is considered and the extent to which this goal has been realised for fully dense alloys identified.