High-energy ball milling (HEBM) of powders is a complex process involving mixing, morphology changes, generation and evolution of defects of the crystalline lattice, and formation of new phases. This review is dedicated to the memory of our colleague, Prof. Michail A. Korchagin (1946–2021), and aims to highlight his works on the synthesis of materials by self-propagating high-temperature synthesis (SHS) and thermal explosion (TE) in HEBM mixtures as important contributions to the development of powder technology. We review results obtained by our group, including those obtained in collaboration with other researchers. We show the applicability of the HEBM mixtures for the synthesis of powder products and the fabrication of bulk materials and coatings. HEBM influences the parameters of synthesis as well as the structure, phase composition, phase distribution (in composites), and grain size of the products. The microstructural features of the products of synthesis conducted using the HEBM precursors are dramatically different from those of the products formed from non-milled mixtures. HEBM powders are also suitable as feedstock materials for depositing coatings by thermal spraying. The emerging applications of HEBM powders and future research directions in this area are discussed.