Refractory high-entropy alloys (RHEAs) are promising candidates for those applications requiring of strong materials at high temperatures with elevated thermal stability and excellent oxidation, irradiation, and corrosion resistance. Particularly, RHEAs synthesized using mechanical alloying (MA) followed by spark plasma sintering (SPS) has proven to be a successful path to produce stronger alloys than those produced by casting techniques. This superior behavior, at both room and high temperature, can be attributed to the microstructural features resultant from this powder metallurgy route, that include the presence of homogeneously distributed non-metallic particles, fine- and ultrafine-grained microstructures, and higher content of interstitial solutes. Nevertheless, the powder metallurgy fabrication relies over a complex balance of several operational variables, and the process is no exempt of certain challenges, such as contamination or the presence of pores in the bulk parts. This review aims to cover all the peculiarities of the MA + SPS route, the resultant microstructures, their mechanical properties, and the strengthening and deformation mechanisms behind their superior performance, as well as a brief description of their oxidation resistance.