A series of magnetic FeCoNiAl nanocapsules was synthesized by the plasma arc discharge method; the targets of Fe, Co, Ni, and Al powders were changed with varying compositions. The compositions of the nanocapsules were found to be quite different from those of the corresponding targets; the relative amount of Al (or Ni, Co) to Fe was increased (or decreased). Structures, particles sizes, composition, surface composition, magnetic properties, and thermal stability of the nanocapsules were investigated. The saturation magnetization Ms = 106.8 emu/g and coercive force iHc = 367 Oe were achieved for the nanocapsules with the Fe62.5Co21Ni13Al2.5 target. In the FeCoNiAl nanocapsules, the binding energies of Fe, Co, and Ni were different from those of the metals Fe, Co, and Ni. The binding energies of Fe2p3/2 and Fe2p1/2 of the nanocapsules were 708.2 and 721.3 eV, respectively. The four-layer structure was proposed to give a clear statement of how the composition and phase varied radially in the nanocapsules. The major contents of the four layers—i.e., the outer shell, the inner shell, the outer core and the inner core—were amorphous alumina, crystalline alumina, transition metal oxides, and transition metal alloy, respectively. The compositions, structures, particle size, and grain size of the nanocapsules all affect their magnetic properties. In the FeCoNiAl nanocapsules, the greater th amount of the body-centered-cubic phase, the stronger the ferromagnetic magnetic properties.