A coated soft magnetic alloy particle includes a soft magnetic alloy particle containing an amorphous phase, and a first film containing at least one compound selected from the group consisting of an inorganic compound having a hexagonal, trigonal, or monoclinic crystal structure and a layered silicate mineral. The first film coats a surface of the soft magnetic alloy particle, and an outer peripheral contour of a section of the coated soft magnetic alloy particle has an average smoothness ζ_ave of 0.92 or more and 1.00 or less (i.e., from 0.92 or more and 1.00).