Dynamic shock compaction offers the potential of fabricating bulk nanocrystalline functional materials via consolidation of amorphous or nanocrystalline alloy powders, while retaining the metastable structure and/or nanograin size of starting powders. In this work, gas-gun impact, double-tube explosion and underwater explosion techniques were utilized to consolidate exchange-coupled R2Fe14B/alpha-Fe (R=Nd, Pr) hard/soft phase nanocomposite powders. Design of the consolidation fixtures, densification conditions, and starting powder properties allowed control of the final density and the nanoscale structure of the hard/soft magnetic phases in the recovered shock-compacted samples. Highly dense compacts (similar to99% of full density) were obtained under optimized shock consolidation conditions. Transmission electron microscopy observations revealed complete retention of the nanostructure, which was within 15-25 nm in the final shock-compacted composite magnets. Retention of the nano-scale structure in the shock consolidated compacts ensured exchange coupling between the hard and soft phases, resulting in optimal magnetic properties. In this paper, the unique attributes of the shock-densification process in forming and retaining the nanocrystalline structure, and therefore leading to improved magnetic properties will be described.