High‐entropy alloys (HEAs) and multicomponent alloys are known for their promising properties and the almost infinite possibilities of the design of new compositions. The Al–Cr–Fe–Mn–Mo family of HEAs is chosen to promote the formation of a body‐centered cubic (bcc) structure that exhibits high hardness and yield strength. Powder metallurgy is preferred to the liquid route to avoid segregation problems. Two compositions of alloyed powder, equiatomic and optimized, are successfully prepared by mechanical alloying. X‐ray diffraction (XRD) indicates the formation of two major bcc phases: bcc#1 (a1 = 3.13–3.14 Å) and bcc#2 (a2 = 2.87–2.94 Å). Energy transferred during milling depends greatly on the milling device and process conditions. Scanning electron microscopy–energy‐dispersive X‐ray spectroscopy (SEM–EDX) images reveal that high‐energy shocks of balls enable to elaborate homogeneous powder with controlled Fe contamination coming from the grinding vial and balls, whereas low‐energy shocks enable to produce powder free of contamination by Fe, with heterogeneous particles. Finally, the milling process is optimized to obtain a homogeneous alloyed powder with as little contamination as possible.

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