Abstract: Preparation of a nanocrystalline Al-Zn-Mg-Cu alloy by mechanically milling at cryogenic temperature (cryomilling) was studied. X-ray diffraction (XRD), scanning electron microscopy (SEM), transmission electron microscopy (TEM) and differential scanning calorimeter (DSC) were used to investigate the effect of cryomilling process on the grain size, the microstrain, the phase transformations in solid and the thermal stability of this alloy. With increasing milling time, the grain size of the alloy decreased sharply. The grain size is 45 nm cryomilled for 10 h. The more the milling time, the greater the microstrain of the alloy is. During the cryomilling, MgZn₂ gradually disappeared and super-saturated to α-Al, and only a little MgZn₂ remained after 10 h cryomilling within the precision of the X-ray method. The grain of the Al-Zn-Mg-Cu alloy growed very slowly when it was heated under 709 K, which showed that the nanocrystalline Al-Zn-Mg-Cu powders have high thermal stability.