We report a method to make exchange-coupled soft magnetic FeNi-SiO2 nanocomposite material composed of FeNi nanoparticles coated with a thin SiO2 layer. Permeability is independent of frequency up to at least 100 MHz, with value as high as 16 in samples with density merely 93% of the ideal density. The quality factors are higher than conventional high-frequency CoNi ferrites after 10 MHz and decrease in a much slower fashion with increasing frequency. We ascribe these experimental observations to the exchange coupling among the magnetic particles.