Since the discovery of the giant magnetocaloric effect (MCE) close to room temperature in FeRh and particularly in Gd5Si2Ge2 compounds, the study of this phenomenon has experienced an exponential growth. Among the different techniques used to produce magnetocaloric materials, ball milling has been shown as a very versatile one and presents several advantages over other preparation techniques (e.g., easy scale-up to industrial production). Although a general decrease of the peak value of the magnetic entropy change is observed for milled samples, it can be compensated by the large broadening of the MCE peak, leading to an increase of the refrigeration capacity. In this short review, several aspects inherent to powder samples affecting MCE will be discussed, such as the relevant effect of the demagnetizing field, the possible multiphase character, and the presence of Curie temperature distributions. In mechanically alloyed samples, the two latter factors are typically affected by the degree of integration of the different starting constituents.