Laser powder bed fusion (LPBF) is a prospective and promising technique of additive manufacturing of which there is a growing interest for the development and production of Fe-based bulk metallic glasses and amorphous–nanocrystalline composites. Many factors affect the quality and properties of the resulting material, and these factors are being actively investigated by many researchers, however, the factor of the inert gas atmosphere used in the process remains virtually unexplored for Fe-based metallic glasses and composites at this time. Here, we present the results of producing amorphous–nanocrystalline composites from amorphous Fe-based powder via LPBF using argon and helium atmospheres. The analysis of the microstructures and phase compositions demonstrated that using helium as an inert gas in the LPBF resulted in a nearly three-fold increase in the amorphization degree of the material. Additionally, it had a beneficial impact on phase composition and structure in a heat-affected zone. The received results may help to develop approaches to control and improve the structural-phase state of amorphous–nanocrystalline compositional materials obtained via LPBF.