Soft magnetic alloys are extensively utilized in various power electronic devices due to their advantageous properties, including high saturation magnetic induction, low coercivity, and high permeability. In certain applications, complex-shaped components are increasingly required to enhance performance. Additive manufacturing technologies, particularly selective laser melting (SLM), have emerged as effective methods for fabricating such intricately shaped soft magnetic components. SLM, a laser-based additive manufacturing technique, employs high-power density lasers to selectively melt and fuse metal powders within a powder bed. This approach enables rapid prototyping, precise geometrical control, and the integration of multi-material designs. This review highlights recent advancements in the application of SLM technology for the production of soft magnetic alloys, focusing on Fe-Si, Fe-Ni, Fe-Co, and amorphous alloy systems. Moreover, it explores the implementation of SLM in manufacturing processes and evaluates both the opportunities and challenges associated with SLM-based production of soft magnetic alloys.