The work develops an insect-scale soft robot capable of fast directional locomotion actuated by itself spring-like body composed of shape memory alloy wires (SMAWs)-based composite. The soft composite is fabricated integrating polydimethylsiloxane (PDMS) matrix, 3D printed acrylonitrile-butadiene-styrene (ABS) substrate, and parallel multi-SMAWs with the diameter of 0.075 mm. Since it can implant the thermal-induced SMAW deformation and rapidly cause the elastic recovery feature of ABS resin material, the soft composite can act as the insect-scale robotic actuator to imitate the longitudinal muscle. The designed structure can convert the repetitive contraction-stretch behavior of the embedded SMAWs to the bending-expanding deformation of the robotic soft body, which forms the robotic different gaits. With the excitation of pulse-width modulation (PWM) voltages with various frequencies, different characteristics of the designed robot are compared. The experimental results validate that the designed soft robot can reach a movement speed of $\sim$29.87 mm/s with jumping locomotion, greater than one-time body-length/s, and afford a load of $\sim$11.1 g, about 24.1 times the weight of itself.