Chromium boride, an advanced ceramic material, is commonly produced by powder metallurgy methods using elemental boron and chromium powder, borothermic reactions, or boron carbide reduction of Cr2O3. In this study, a mechanochemical method for the production of chromium boride was developed, subsequent purification was performed, and the whole process was optimized. The amounts of Cr2O3, B2O3, and Mg in the initial powder blends were determined by computational thermodynamic methods based on their equilibrium compositions. Firstly, stoichiometric starting-powder blends were milled at different durations (1, 2, 3, 4, 5, and 8 h). The optimum purification route was determined using acid leaching experiments carried out with different acids, at different temperatures, and concentrations. Secondly, powders prepared in excess amounts were synthesized at the optimum duration (5 h) and leaching condition (0.1 M HCl, 25 °C). For the 100 wt % excess B2O3, 25 wt % excess Mg and 0.8 moles of Cr2O3 composition, annealing was conducted at 1100 °C. Characterization studies, X-ray diffractometry (XRD), scanning electron microscopy/energy dispersive spectroscopy (SEM/EDS), transmission electron microscopy (TEM), and atomic absorption spectroscopy (AAS) were conducted on the milled and leached powders. After annealing, CrB, CrB2, Cr3B4 and MgO phases were obtained in the XRD patterns. The particle sizes of the resulting materials were also analyzed, and it was found to be nearly 3.11 μm after annealing. Finally, the TEM analysis revealed that the MgO peak evident in the XRD patterns was MgO shell covering the Cr boride particles having submicron sizes; hence, a pure Cr boride@MgO core-shell structure was obtained.