Exchange-spring magnets are nanocomposites that are composed of magnetically hard and soft phases that interact by magnetic exchange coupling. Such systems are promising for advanced permanent magnetic applications, as they have a large energy product--the combination of permanent magnet field and magnetization--compared to traditional, single-phase materials. Conventional techniques, including melt-spinning, mechanical milling and sputtering, have been explored to prepare exchange-spring magnets. However, the requirement that both the hard and soft phases are controlled at the nanometre scale, to ensure efficient exchange coupling, has posed significant preparation challenges. Here we report the fabrication of exchange-coupled nanocomposites using nanoparticle self-assembly. In this approach, both FePt and Fe3O4 particles are incorporated as nanometre-scale building blocks into binary assemblies. Subsequent annealing converts the assembly into FePt-Fe3Pt nanocomposites, where FePt is a magnetically hard phase and Fe3Pt a soft phase. An optimum exchange coupling, and therefore an optimum energy product, can be obtained by independently tuning the size and composition of the individual building blocks. We have produced exchange-coupled isotropic FePt-Fe3Pt nanocomposites with an energy product of 20.1 MG Oe, which exceeds the theoretical limit of 13 MG Oe for non-exchange-coupled isotropic FePt by over 50 per cent.