High-energy ball milling was used to produce two Fe-X-B (X = Nb, NiZr) nanocrystalline alloys. X-ray diffraction (XRD), differential scanning calorimetry (DSC), and vibrating sample magnetometry (VSM) were used to analyze the microstructure, thermal, and magnetic characteristics of the milled powders, the agglomerated particles (also generated during the milling process), and the compacted specimens of both alloys. The main crystallographic phase is always a bcc Fe-rich solid solution; whereas a minor Nb(B) phase is detected on powders and agglomerated particles in the Fe80Nb8B12 alloy. The crystalline size of the Fe80(NiZr)8B12 alloy is between 11 and 14 nm, whereas in the Fe80Nb8B12 alloy, it ranges between 8 and 12 nm. Microstrain and dislocation density are higher in agglomerated samples for both alloys than in milled powders. Thermal analysis detects structural relaxation and crystal growth exothermic processes with high dispersion in the temperature intervals and in the calculated apparent activation energy of the main crystallization process. Regarding magnetic behavior, the coercivity values of all powdered-agglomerated specimens were around 800 A/m. The coercivity is higher in compacted sample, but controlled annealing favors enhanced soft behavior.