Mechanical Alloying (MA) is one of the most widely adopted powder metallurgy routes for producing High Entropy Alloys (HEAs). An important consideration in MA is its capability to create fine particles, controlling the agglomeration between the multiple alloying elements, and reducing the segregation of alloying additions. MA can be performed under dry or wet conditions (using Process Control Agents). Toluene and Hexane are the most commonly used Process Control Agents (PCA) during MA. This work focuses on developing Fe35Co20Cr20Ni20Mn5-based HEA, their microstructure study, phase evaluation, and thermal stability analysis processed under wet and dry conditions. A combination of metallic-alloying elements is prepared with the help of a high-speed planetary ball milling device for up to 30 h of activation in wet and dry conditions. Initially, the Fe35Co20Cr20Ni20Mn5 HEAs had the BCC (Body-Centered Cubic) crystal structure. Milling duration was increased from 0 to 30 h to transform the single-phase crystal structures (BCC) to FCC (Face-Centered Cubic) crystal structures. Results reveal that PCA addition (ie wet conditions) is highly effective compared to those without PCA. It is also inferred that Toluene is highly effective for Fe35Co20Cr20Ni20Mn5-based HEAs in terms of higher solubility, better phase stability, lower chemical reactivity between the alloying elements, and enhanced thermal stability.