A method for producing a soft magnetic metal powder coated with a Mg-containing oxide film, comprising the steps of adding and mixing a Mg powder with a soft magnetic metal powder which has been subjected to heating treatment in an oxidizing atmosphere at a temperature of 40 to 500° C. to obtain a mixed powder, and heating the mixed powder at a temperature of 150 to 1,100° C. in an inert gas or vacuum atmosphere under a pressure of 1×10−12 to 1×10−1 MPa, while optionally tumbling; and a method for producing a composite soft magnetic material from the soft magnetic metal powder coated with a Mg-containing oxide film.