This work describes how a solid-state blending method such as jet milling can be used to successfully prepare polysulfone (PSU)/γ-alumina nanocomposites. For comparison purposes, conventional melt extrusion was used as well. Morphological analysis revealed how jet mill blending allows obtaining well-dispersed γ-alumina nanoparticles within a polysulfone matrix without any surface treatment, with an important decrease of particle size promoted by the breakup of agglomerates and aggregates due to the particle-particle impacts during processing, which was not observed in the extruded nanocomposites. DSC analysis demonstrated that jet-milling processing promoted Tg enhancements with alumina addition, while TGA experiments confirmed the increment of thermal stability of the nanocomposites prepared by jet milling when compared with the composites prepared by extrusion. The tensile tests showed that ductility remains at a high value for milled nanocomposites, which agreed with the fracture surface images revealing large plastic deformation as a function of the alumina content. This comparative study indicates that the dispersion of nanoparticles in PSU was more homogeneous, with smaller nanoparticles when preparing nanocomposites using jet milling, showing a strong correlation with the enhanced final properties of the nanocomposites.