Nanocrystalline soft magnetic materials are known to be prepared by primary crystallization of Fe-based amorphous precursors. Since the crystallization reaction is exothermic, the amorphous precursor may experience a temporary rise in its temperature relative to its surroundings during the process of nanocrystallization. Given the typical latent heat of primary crystallization (∼100 kJ/kg), this temperature rise may exceed hundreds of degrees if not adequately controlled and thus, lead to the formation of unwanted magnetically hard compounds. This effect is generally small for isolated ribbons annealed with a moderate heating rate. However, the recent adoption of high heating rates and short annealing times has caused the self-heating effect to become relevant even for small sample sizes. In this work, the effect of self-heating on the microstructure and magnetic properties of nanocrystalline Fe86B14 is investigated. It is found that magnetically hard Fe-B compounds cannot be avoided when annealing under vacuum in an infrared furnace with a heating rate ≥3 K/s due to the self-heating effect. However, the high thermal conductivity of the copper blocks used by the ultra-rapid annealing process can successfully prevent a self-heating induced temperature rise during annealing, avoiding unwanted compound formation. Finite Element Analysis is also used for predicting the extent of self-heating during infrared annealing.