With the increasing demand for smaller, lighter, and more affordable electromagnetic devices, there is a growing trend toward developing high-power-density transformers and electrical machines. While increasing the operating frequency is a straightforward approach to achieving high power density, it can lead to significant power loss within a limited volume, resulting in excessive temperature rise and device degradation. Therefore, it is crucial to design high-power-density electromagnetic devices that exhibit low power loss and efficient thermal dissipation to address these challenges. Advanced techniques, such as the utilization of novel and advanced electromagnetic materials, hold great promise for overcoming these issues. Specifically, nanocrystalline and amorphous magnetic materials have emerged as highly effective solutions for reducing power loss and increasing efficiency in electromagnetic devices. This paper aims to provide an overview of the application of nanocrystalline and amorphous magnetic materials in transformers and electrical machines, along with key technologies and the major challenges involved.