Co-Zr amorphous alloys exhibit soft magnetic properties, whereas Co-rich crystalline magnetic phases in this alloy system display hard magnetic behaviour. In this study, an initial two-phase Co-Zr composite with an overall composition of 75 at.% Co and 25 at.% Zr was processed by high pressure torsion (HPT) and the effects of severe plastic deformation and subsequent thermal treatment on the structural evolution and its magnetic properties have been investigated. HPT processing allowed us to achieve an amorphous microstructure in the as-deformed state with low coercivity. To further tune magnetic properties and study the alloys’ crystallization behaviour, various annealed states are investigated. Microstructural properties are correlated to the magnetic properties and a decreasing coercivity with increasing annealing temperature is observed despite the onset of crystallization in the amorphous alloy. At higher annealing temperatures, coercivity increases again. The results appear promising to obtain tuneable rare-earth free magnetic materials by severe plastic deformation.