This work focused on the production of the MoAlB MAB phase through self-propagating, high-temperature synthesis in the thermal explosion mode. The influence of the method of a Mo-Al-B-powder reaction mixture preparation on the combustion temperature, mechanism, and stages of the MAB phase formation in the combustion process was investigated. The combustion temperatures of the mixtures obtained in the rotary ball mill and high-speed planetary ball mill were 1234 and 992 °C, respectively. The formation of intermediate compounds Mo3Al8 and α-MoB in the combustion front, along with MoAlB, was established using the time-resolved X-ray diffraction method. In the case of the mixture prepared in a ball mill, the primary interaction in the combustion front occurred through the Al melt, and in the case of using a planetary mill, solid-phase reactions played an important role. The mechanical activation of the mixture in a planetary mill also accelerated the processes of phase formation. The method of a reaction mixture preparation has virtually no effect on the MoAlB MAB phase content in combustion products (92–94%), but it does affect their structure. The synthesis products have a lamellar structure composed of MAB grains with a thickness of ~0.4 μm and a length of ~2–10 μm.