Mechanical alloying is a solid-state powder processing technique that involves repeated cold welding, fracturing, and rewelding of powder particles in a high-energy ball mill. Originally developed about 50 years ago to produce oxide-dispersion-strengthened Ni- and Fe-based superalloys for aerospace and high temperature applications, it is now recognized as an important technique to synthesize metastable and advanced materials with a high potential for widespread applications. The metastable materials produced include supersaturated solid solutions, intermediate phases, quasicrystalline phases, amorphous alloys, and high-entropy alloys. Additionally, nanocrystalline phases have been produced in virtually every alloy system. Because of the fineness of the powders, their consolidation to full density without any porosity being present is a challenging problem. Several novel methods have been developed to overcome this issue. Powder contamination during milling and subsequent consolidation constitutes another issue; this can be resolved, though expensive. A number of applications have been developed for these novel materials. This review article presents an overview of the process of mechanical alloying, mechanism of grain refinement to nanometer levels, and preparation of materials such as nanocomposites and metallic glasses. The application of mechanical alloying to synthesize some advanced materials such as pure metals and alloys, hydrogen storage materials, and energy materials is described. The article concludes with an outlook on future prospects of this technique.