Abstract: The continuous upgrading of third-generation power semiconductors has imposed stringent requirements on soft magnetic composites (SMCs) for high-power magnetic devices, including superior high-frequency performance, low power loss, and excellent DC-bias characteristics. In recent years, notable advances have been achieved in industry and academia, regarding the optimization of DC-bias performance and power loss of SMCs for high-power magnetic applications. However, the comprehensive electromagnetic properties of SMCs remain in urgent need of further enhancement. Focusing on key performance indicators, i.e., permeability, DC-bias characteristics, and high-frequency loss, this review systematically summarizes the technical bottlenecks and latest research progress of SMCs for high-power magnetic devices in crucial processes, including insulation coating, powder mixing, formation, and heat treatment. It incorporates global research advances in related fields alongside our team’s findings, while conducting an in-depth analysis of feasible performance optimization pathways. In addition, this work discusses the future challenges and opportunities confronting the SMC industry for high-power magnetic devices, aiming to provide a reference for the research, development, and application of such materials.