Nanocrystalline Supermalloy powders (79Ni19Fe5Mo, wt%) were obtained by mechanical alloying under argon atmosphere and subsequent annealing. Several milling times ranging from 2 to 32 h have been used. The alloy formation was checked by X-ray diffraction and magnetic measurements. The Curie temperature measurements illustrate the progressive formation of the alloy until 16 h of milling. The evolution of the ferromagnetic–paramagnetic transition and the formation of the alloy in the milled samples are discussed considering the heating and cooling part of the thermomagnetic measurements. A difference between the Curie temperatures measured on the heating and cooling curves was observed. This difference has been interpreted as resulting from a powder contamination with iron for longer milling times.