Machine learning was utilized to efficiently boost the development of soft magnetic materials. The design process includes building a database composed of published experimental results, applying machine learning methods on the database, identifying the trends of magnetic properties in soft magnetic materials, and accelerating the design of next-generation soft magnetic nanocrystalline materials through the use of numerical optimization. Machine learning regression models were trained to predict magnetic saturation ($B_S$), coercivity ($H_C$) and magnetostriction ($lambda$), with a stochastic optimization framework being used to further optimize the corresponding magnetic properties. To verify the feasibility of the machine learning model, several optimized soft magnetic materials -- specified in terms of compositions and thermomechanical treatments -- have been predicted and then prepared and tested, showing good agreement between predictions and experiments, proving the reliability of the designed model. Two rounds of optimization-testing iterations were conducted to search for better properties.