Power saving has been a central driving force for the development of new materials. In this framework, soft magnetic composites appear as a feasible concept to be applied in strategic topics for modern society including sensing, energy generation, and conversion. With a unique freedom regarding material selection based on powder metallurgy techniques, this engineering magnetic material class allows novel designs able to drive operation conditions to new limits, unlocking the potential of novel applications. This document reviews soft magnetic composites by using a multidisciplinary approach addressing underlying physics responsible for their magnetic performance, limitations, and future trends.