It has been appreciated for some time that the novel properties of particles in the size range 1 -10 nm are potentially exploitable in a range of applications. In order to ultimately produce commercial devices containing nanosized particles, it is necessary to develop controllable means of incorporating them into macroscopic samples. One way of doing this is to embed the nanoparticles in a matrix of a different material, by co-deposition for example, to form a nanocomposite film. The atomic structure of the embedded particles can be strongly influenced by the matrix. Since some of the key properties of materials, including magnetism, strongly depend on atomic structure the ability to determine atomic structure in embedded nanoparticles is therefore very important. This review focuses on nanoparticles, in particular magnetic nanoparticles, embedded in different metal matrices. EXAFS provides an excellent means of probing atomic structure in nanocomposite materials, and an overview of the technique is given. Its application to catalytic metal clusters is described briefly, before giving an account of the use of EXAFS in determining atomic structure in magnetic nanocomposite films. In particular, we focus on cluster-assembled films comprised of Fe and Co nanosized particles embedded in various metal matrices, and show how the crystal structure of the particles can be changed by appropriate choice of matrix material. The work discussed here demonstrates that combining the results of structural and magnetic measurements, as well as theoretical calculations, can play a significant part in tailoring the properties of new magnetic cluster-assembled materials.