Inspired by soft-bodied animals, soft functional active materials could enable physical intelligence for small-scale (from a few millimeters down to a few micrometers overall size) robots by providing them unique capabilities, such as shape changing and programming, physical adaptation, safe interaction with their environment, and multi-functional and drastically diverse dynamics. In this talk, our recent activities on design, manufacturing, and control of new bio-inspired shape-programmable active soft matter and untethered soft swimmers at the milli/microscale are reported. Untethered soft millirobots inspired by spermatozoids, caterpillars, and jellyfishes are proposed using elastomeric magnetic composite materials. Static and dynamic shapes of such magnetic active soft materials are programmed using a computational design methodology. These soft robots are demonstrated to be able to have seven or more locomotion modalities (undulatory swimming, jellyfish-like swimming, water meniscus climbing, jumping, ground walking, rolling, crawling inside constrained environments, etc.) in a single robot for the first time to be able to move on complex environments, such as inside the human body. Preliminary ultrasound-guided navigation of such soft robots is presented inside an ex vivo tissue towards their medical applications to deliver drugs and other cargo locally and heat the local tissues for hyperthermia and cauterization. Next, a more specialized soft-bodied jellyfish-inspired milliswimmer is shown to realize multiple functionalities by producing diverse controlled fluidic flows around its body using its magnetic composite elastomer lappets bent by remote magnetic fields. This jellyfish robot can conduct four different robotic tasks: selectively trap and transport objects of two different sizes, burrow into granular media consisting of fine beads to either camouflage or search a target object, enhance the local mixing of two different chemicals, and generate a desired concentrated chemical path.