The process of advanced aluminum-alumina powders production for selective laser melting was studied. The economically effective method of obtaining aluminum-alumina powdery composites for further selective laser melting was comprehensively studied. The aluminum powders with 10–20 wt. % alumina content were obtained by oxidation of aluminum in water. Aluminum oxidation was carried out at ≤200 °C. The oxidized powders were further dried at 120 °C and calcined at 600 °C. Four oxidation modes with different process temperatures (120–200 °C) and pressures (0.15–1.80 MPa) were investigated. Parameters of aluminum powders oxidation to obtain composites with 10.0, 14.5, 17.4, and 20.0 wt. % alumina have been determined. The alumina content, particle morphology, and particle size distribution for the obtained aluminum-alumina powdery composites were studied by XRD, SEM, laser diffraction, and volumetric methods. According to the obtained characteristics of aluminum-alumina powdery composites, they are suitable for the SLM process.