Soft magnetic alloys exhibit significant potential for applications in electromagnetic wave absorption in the gigahertz frequency band, owing to their advantages such as high saturation magnetization, excellent permeability, diverse microwave attenuation mechanisms, and flexibly tunable electromagnetic parameters. This paper provides a review of the research progress on soft magnetic alloys and their composites in the field of microwave absorption over the past five years. The methods for modulating the performance of soft magnetic alloy-based microwave absorbers are summarized, primarily including composition optimization, elemental doping and post-treatment processing, and the effects of these methods on electromagnetic parameters and microwave absorption performance are analyzed. Subsequently, the synergistic effects of incorporating hard magnetic materials, dielectric materials and insulating materials with soft magnetic alloys on enhancing microwave absorption performance are mainly discussed. Then, the auxiliary role of machine learning in the development of soft magnetic microwave absorbing materials is introduced. In summary, the development of soft magnetic alloys and their composites exhibits a clear trend toward diversification in material systems, preparation methods and morphological design. Looking forward, the deep integration of material experimentation, performance simulation and machine learning is expected to significantly accelerate the efficient development of microwave-absorbing materials in this field.