Step 1 - Start with two layers. In this example the bird photograph is on the top layer and the background is a solid black fill.
Step 2 - Click the Bird layer to make it active. Then command/control click on the Bird layer thumbnail to select around the photograph.
Step 3 - Select the selection tool (M) and click Refine Edge.
Step 4 - I used a 4px value for Feather and -62% for Shift Edge. Change the output to Layer Mask and click OK.
The result is a soft (feathered) edge around the photograph.