The development of soft magnetic materials is fundamentally important for improving operational efficiencies of the ever-growing field of power electronics, electrical motors, and generators. It requires to meet the challenges of constantly changing fields of modern areas of applications starting from spaceships to day-to-day electronics. Many new materials with soft magnetic properties, viz. ferrous alloys, soft ferrites, amorphous and nanocrystalline magnetic alloys, have been continuously evolving since the inception of electromagnetic induction. The main drive for the continuous improvements of soft magnetic materials is primarily to enhance energy efficiency, to reduce size and weight, and to boost the power of high-frequency power electronics and electrical machines of high rotational speed. Despite some predicaments, the amorphous and nanocrystalline soft magnetic materials have become a field of major research interest since their invention four decades ago. It has been observed that the amorphous and nanocrystalline alloys exhibit better magnetic properties than the conventional soft magnetic alloys. This group of materials is produced adapting various production techniques. In this review, amorphous, nanocrystalline, and high entropy alloys (HEA) are discussed as soft magnetic materials and their electromagnetic properties are assessed. However, this review will particularly focus on the mechanically alloyed amorphous, nanocrystalline, and HEA soft magnetic materials. The soft magnetic alloys of interest for this review are grouped on the basis of Fe, Co, Ni, and FeCoNi. Furthermore, the effect of MA parameters and subsequent annealing processes on the magnetic properties is also assessed. This review brings forth a great promise in the field of soft-core magnets for high-end applications.