The hexaferrite BaFe12O19 phase was synthesized through the mechanical alloying process followed by subsequent annealing. Rietveld refinements of as-milled powder annealed at 700 ∘C confirm the formation of the BaFe12O19 phase with the presence of an important amount of the α-Fe2O3 phase. Thus, prior mechanical milling shows much lower reaction temperature and less reaction time compared to conventional methods. Further annealing up to 900 and 1100 ∘C could not enable the formation of a single BaFe12O19 phase, reaching an optimum phase composition ratio close to BaFe12O19/ α-Fe2O3 70/30. The crystallite size was found to be in the nanoscale level but increases with increasing temperature (BaFe12O19 = 20–62 nm; α-Fe2O3 = 31–74 nm). SEM micrographs show that as the annealing temperature rises, the particles become more regular with sharp edges and hexagonal-like shapes. Magnetic measurements reveal that both Ms and Mr increase with annealing temperature to reach maximum values at 900 ∘C then remain unchanged, associated with phase composition. The coercivity Hc increases upon annealing up to 700 ∘C to a much higher value, from 1.7 kOe for as-milled powder to 4.8 kOe. Its value then decreases, attributed to grain (particle) growth (formation of larger particles) due to high annealing temperatures: 900–1100 ∘C. The obtained composites show very interesting magnetic properties and can be considered for potential applications, such as hyperthermia, heavy metal and dye removal, and hard/soft magnetic composites.