The integration of different material classes (e.g, oxides and metals) with nanoscale dimensions in large 3D materials remains a fundamental challenge in nanocomposite fabrication. The incentive is that some of the most interesting properties occur at nanoscale interfaces, while the challenge arises from the difficulty in densifying the materials without deleterious reaction at the interface. Here, we introduce a method based on the synthesis of core-shell powders followed by efficient, relatively low-temperature densification with current-activated pressure-assisted densification. The composition of the bulk nanocomposites can be controlled by varying the core-shell weight ratio, leading to controllable thicknesses of the hard/soft magnetic phases. We demonstrate intimate mixtures of nanoscale strontium ferrite (hard magnetic phase) and Co-Fe (soft magnetic phase) with minimal reaction. The high volume content of high-quality oxide/metal interfaces leads to magnetic exchange coupling in the composites.