α-Fe(NiCoAl) solid-solution nanocapsules were prepared with pure powders of Fe, Ni, Co and Al by the plasma arc-discharging using a copper crucible. The shapes of the nanocapsules are in polyhedrons with the core/shell structure. The body centered cubic (BCC) phase is formed in the core. The size of the nanocapsules is in the range of 10～120 nm and the thickness of the shell is 4～11 nm. Saturation magnetization Js=150 Am2/kg and coercivity iHC=24.3 kA/m are achieved for the nanocapsules.