This chapter provides a comprehensive understanding of the evolution of phase composition, microstructure, and mechanical properties resulting from the mechanical milling of constituent elements to synthesize transition metal-based high-entropy alloys (TM-HEAs) and refractory high-entropy alloys (RHEAs). It delves into the critical role of mechanical alloying in facilitating solid-solution formation, grain refinement, and, in some cases, the emergence of secondary phases such as oxides, carbides, and intermetallics. The discussion further extends to various consolidation techniques, such as spark plasma sintering (SPS), vacuum hot pressing (VHP), and hot isostatic pressing (HIP), which are employed to achieve high densification and desirable microstructural features. Additionally, the chapter highlights the thermal stability of these alloys as well as their oxidation behavior, which are crucial in assessing their applicability for high-temperature structural applications. Overall, this chapter aims to demonstrate processing–structure–property relationships in mechanically alloyed TM-HEAs and RHEAs, providing valuable insights for both fundamental research, which can be extended to practical applications.