MA956 (Fe-Cr-Al) alloy powder was high-energy ball milled with various amount of yttria contents (1,2,3, and 4 wt.%) to fabricate an oxide dispersion strengthened alloy. The milled powders were then consolidated using hot press sintering at 1150°C. The surface morphology and crystal structure of MA956 powder during the high-energy milling depending on the yttria contents was investigated using particle size analysis, X-ray diffraction, and scanning electron microscopy. The microstructural analysis of sintered alloy was performed using transmission electron microscopy and energy dispersive spectroscopy to evaluate the dispersion behavior of yttrium oxide. The results showed that, as yttria contents increased, the oxide particles became finer and are uniformly distributed during the high-energy milling. However, after the sintering, the oxide particles were coarsened with more than 3 wt.% of yttria addition.