Abstract: In this study, SrFe12O19@MFe2O4 (M = Co, Ni, Zn) core–shell nanofibers were fabricated by coaxial electrostatic spinning. The composites obtained at an annealing temperature of 900 °C are composed of SrFe12O19 in pure phase and MFe2O4 (M = Co, Ni, Zn) in different spinels. X-ray diffraction (XRD), field emission scanning electron microscope (FE-SEM), and transmission electron microscope (TEM) were used to describe the structure and morphology of nanofibers. Magnetic Property Measurement Systems (MPMS) are used to characterize the magnetic properties of nanofibers. Sr@Ni and Sr@Zn fibers all exhibit a unique core–shell structure, while Sr@Co fibers are connected by a lamellar structure. The single-phase hysteresis lines for each composite indicate the presence of exchange coupling effects between the hard/soft magnetic composite phases. The magnetic properties of the composites change as the soft magnetic material in the shell layer changes. Sr@Co has the highest Ms (69.43 emu/g) and Mr (33.82 emu/g), whereas Sr@Zn has the highest Hc (2927 Oe). The switching plant curves indicate that the best exchange coupling of the three groups of samples is for Sr@Co. The magnetic properties of the composites are explained in terms of the nanofiber diameter, the exchange coupling between the two phases, and the nature of the soft magnetic phase itself. It is shown that the exchange coupling of composites is closely related to the type of composite.