The annealing process is a very effective way to improve the soft magnetic properties of nanocrystalline alloys. In this paper, the research status of annealing process of nanocrystalline alloys are summarized and the characteristics of different annealing process are compared. Conventional annealing and Joule annealing are the key to determine the final grain size and crystallization ratio of the alloy, which is the premise to obtain the best properties. Magnetic field annealing and stress annealing can change the shape of the hysteresis loop after annealing, obtain higher induced anisotropy and reduce the constant permeability of the material under a certain magnetic field strength. Up to now, furnace annealing and magnetic field annealing are already widely applied, while joule annealing and stress annealing are affected by process equipment and production efficiency respectively, resulting in the lag of their industrial application. However, the high efficiency of Joule annealing and the extremely high induced anisotropy of stress field annealing also have significant advantages, which means the potentiality of futher industrial application.