The present study is devoted to changes of the magnetic properties during the high-energy ball milling of the Fe, Al and Fe2O3 powders. The magnetic properties are supported by the structure morphology, phase composition, and changes in atomic ordering investigated using the structure sensitive scanning electron microscopy, X-ray diffraction and Mössbauer spectrometry. Intergrain exchange coupling results in negative values of δM(H) Henkel graphs yielding dipolar interactions among particles and only slightly depending on the milling time. The bcc-Fe–Al is detected after 2 h of milling coexisting with the α-(Fe,Al)2O3, superparamagnetic oxides, and α-Fe. In the next milling steps the changes in the phase composition are seen. While a small amount of the superparamagnetic oxides and the bcc-Fe–Al phase are detected after 20 h, the α-(Fe,Al)2O3 has been dissolved. An increase in the hyperfine induction and saturation magnetization evidences a decrease in Al content in the bcc-Fe–Al estimated to be bellow 18 at.% Al.