<p>In conventional soft magnetic composites, high magnetic loading and compact density are widely used to enhance permeability and magnetic flux capacity. However, densification also aggravates interfacial damage, residual stress, interparticle electrical contact, and high-frequency instability. This review therefore focuses on interface engineering as the central route for reconciling high density with low core loss, high resistivity, DC-bias stability, thermal robustness, and manufacturability in Fe-based amorphous and nanocrystalline soft magnetic composites. Representative inorganic, organic, hybrid, conformal, graded, and emerging stimulus-responsive interfaces are discussed in relation to porosity evolution, stress transfer, magnetic dilution, and loss separation, including hysteresis loss, interparticle and intraparticle eddy-current loss, and excess loss. Microwave absorption is subsequently examined as an application extension of the same interface physics rather than as a parallel survey of the entire absorber field. Particular attention is given to how heterogeneous and hierarchical interfaces redistribute magnetic and dielectric losses, regulate impedance matching, and determine reflection loss, effective absorption bandwidth, thickness dependence, and angular robustness. The reviewed evidence is organized into an interface-centered structure–property–function map linking established material classes, interfacial strategies, loss mechanisms, and application metrics. This map provides an interpretive basis for formulating design considerations for low-loss soft magnetic composites and high-frequency electromagnetic absorbers.</p>