High-flux ferronickel powder cores are widely used in high-frequency transformers and other fields due to their high saturation flux density and low core loss. In this paper, FeNi@Al2O3 composites with varying Al2O3 contents (0.0–5.0 wt.%) were prepared. Their microstructure, magnetic properties, and power losses were investigated in detail. SEM morphology indicates that Fe50Ni50 magnetic powders are well coated with Al2O3. The loss analysis results show that with the increase of Al2O3 concentration, the core loss Pcv first decreased and then increased, and the coating of Al2O3 significantly reduced the eddy current loss of FeNi@Al2O3 composites. When the content of Al2O3 (1 MHz and 50 mT) is 4 wt.%, the core loss is reduced by about 75%.