In this study, the MgAlTiFeNi high entropy alloy was processed by high-energy ball milling under both argon and hydrogen atmospheres. It is shown that this alloy forms a body-centered cubic (BCC) structure when milled under an argon atmosphere (mechanical alloying-MA) and a combination of BCC, FCC, and Mg2NiH4 when milled under hydrogen pressure (reactive milling-RM). The hydrogen storage behavior of the RM samples was evaluated by a combination of thermal analyses and manometric measurements in a Sieverts apparatus. The RM alloy presented a functional hydrogen storage capacity of 0.94 wt% and a very high hydrogen absorption and desorption kinetics at temperatures 100 °C lower than the one for the desorption temperature of the commercial MgH2. Electrochemical discharge of RM samples showed precisely the same hydrogen contend as that obtained in the gas desorption. Electrochemical charging/discharging experiments also were performed in the MA samples, which, however, presented lower electrochemical storage capacity, a behavior probably resulting from the instability of the alloy in the alkaline solution with the formation of a hydroxide layer on its surface that hinders the electrochemical reactions.