MgB 2 was mechanically milled by a planetary ball mill. Rotation speeds were selected from 0 to 150 rpm. Magnetization measurements were performed by Quantum design's SQUID magnetometer. The milled samples above 100 rpm showed ferromagnetism at 300K. The enhancement of flux pinning property at 20K was observed for milled sample at 150 rpm under 0 field and 10 kOe. These results may be due to the oxygen vacancies in the MgO 1-δ nano-particles in the MgB 2 host material, since the ferromagnetism was weakened by the sintering in air at 573 K.