In this paper, a systematic investigation of the microstructure, high performance magnetic hardness as well as novel magnetic memory effect of the Pr4Fe76Co10B6Nb3Cu1 nanocomposite magnet fabricated by conventional melt-spinning followed by annealing at temperatures ranging from 600 to 700 °C in Ar gas for nanocrystallization are presented and discussed. Transmission electron microscopy (TEM) observation confirms an ultrafine structure of bcc-Fe(Co) as a magnetically soft phase and Pr2Fe14B as a hard magnetic phase with a spring-exchange coupling in order to form the nanocomposite state. Electron diffraction analysis also indicates that the Co atoms together with Fe atoms form the Fe70Co30 phase with a very high magnetic moment (2.5 μB), leading to a high saturation magnetization of the system. High magnetic hardness is obtained in the optimally heat-treated specimen with coercivity Hc = 3.8 kOe, remanence Br = 12.0 kG, Mr/Ms = 0.81 and maximum energy product (BH)max = 17.8 MG Oe, which is about a 25% improvement in comparison with recent results for similar compositions. High remanence and reduced remanence are the key factors in obtaining the high performance with low rare-earth concentration (only 4 at.%). High-resolution TEM analysis shows that there is a small amount of residual amorphous phase in the grain boundary, which plays a role of interphase to improve the exchange coupling. Otherwise, in terms of magnetic after-effect measurement, a magnetic memory effect was observed for the first time in an exchange-coupled hard magnet.