The invention relates to a magnetic powder surface gradient coating structure and coating method and a soft magnetic composite. The gradient coating structure is prepared from a coating layer which isformed on the surface of ferromagnetic powder by silicon dioxide and other coated components, and the contents of the silicon dioxide and other coated components in the coating layer are gradiently distributed. The coating method comprises the step of depositing the silicon dioxide and other coated components on the surface of the ferromagnetic powder in one step by adopting a chemical coprecipitation method, wherein the pH value of the system is adjusted in the deposition process. The soft magnetic composite is obtained by sectionally annealing the ferromagnetic powder with the coating layeron the surface after being pressed and formed. The coefficient of thermal expansion of the coating layer prepared by using the method can be controlled, the prepared soft magnetic composite has the advantages of low eddy current loss, high magnetic conductivity, high resistivity and high saturation magnetization, and the defects of low resistivity, mismatching of the coefficient of thermal expansion between coating layers and the like of the material in the prior art are overcome; in order to solve the problems of the reduction of the medium-high frequency magnetic conductivity, high eddy current loss, serious heating and the like of an existing magnetic powder core, a good method is provided.