A method of making a permanent magnet is described. In one embodiment, the method includes providing a first alloy powder having a desired composition, the alloy powder containing neodymium, iron, and boron; coating the first alloy powder with dysprosium, dysprosium alloy, terbium, or terbium alloy so that the first alloy powder has a surface concentration of dysprosium, terbium, or both in excess of a bulk concentration of dysprosium, terbium, or both; and forming the permanent magnet from the coated alloy powder using a powder metallurgy process, the permanent magnet having a non-uniform distribution of dysprosium, terbium, or both therein. Permanent magnets are also described.