With the development of modern technologies in integrated and miniaturized devices, permanent magnets with high energy products and impressive performances are needed. Fabrications and assemblings of nanostructured magnetic materials possess versatile prospects for applications. Next-generation permanent magnets can be fabricated utilizing nanoparticles as building blocks by exploiting nanoscale effects, especially by the exchange-coupled nanocomposites. A typical design of the nanocomposites made of fine mixture of magnetically hard and soft nanoparticles needs well-controlled compositions and interfaces, and vigorously enhances the magnetocrystalline anisotropy and the saturation magnetization. Chemical synthetic routes possess characteristic flexibilities on materials design, sizes, morphologies and self-assembled prospects. This review reports some representative studies on rare-earth magnetic nanomaterials and proposes some idealized nanocomposites for nanoparticle-based future permanent magnets with enhanced energy products.