In this work, 35Fe30Cr20Ni10Mo5W (wt.%) and 30Fe30Cr20Ni10Mo10W (wt.%) high-entropy alloys were fabricated using a powder metallurgy route. Powder mixtures for a hot-pressure process were obtained by the mixing and mechanical alloying of elemental powders. Mechanical alloying was carried out for 1, 2.5, 5, and 10 h. X-ray phase analysis of the powder mixtures showed that with increasing time of mechanical alloying, Face-Centered Cubic (FCC), Body-Centered Cubic (BCC), and nickel–iron intermetallic phases were formed in the structure, and the volume content of molybdenum and tungsten decreased. The hot-pressing was carried out at a pressure of 30 MPa and a temperature of 1200 °C for 30 min. The maximum densities of 8.14 ± 0.02 and 8.40 ± 0.01 g/cm3 and compressive strengths of 2430 ± 30 MPa and 2460 ± 35 MPa for consolidated materials were achieved using powder mixtures after 10 h of mechanical milling, for compositions with 5 wt.% W and 10 wt.% W, respectively. The workpieces fabricated with a pressure-assisted sintering process from milled powders were found to consist of FCC, BCC, and sigma phases.