Abstract: Al₂O₃ nanoparticles and MCrAlY/nano-Al₂O₃ nanocomposite powder (M = Ni, Co, or NiCo) were produced using high-energy ball milling. The MCrAlY/nano-Al₂O₃ coating was deposited by selecting an optimum nanocomposite powder as feedstock for high-velocity oxygen fuel thermal spraying. The morphological and microstructural examinations of the Al₂O₃ nanoparticles and the commercial MCrAlY and MCrAlY/nano-Al₂O₃ nanocomposite powders were investigated using X-ray diffraction analysis, field-emission scanning electron microscopy coupled with electron dispersed spectroscopy, and transmission electron microscopy. The structural investigations and Williamson–Hall results demonstrated that the ball-milled Al₂O₃ powder after 48 h has the smallest crystallite size and the highest amount of lattice strain among the as-received and ball-milled Al₂O₃ owing to its optimal nanocrystalline structure. In the case of developing MCrAlY/nano-Al₂O₃ nanocomposite powder, the particle size of the nanocomposite powders decreased with increasing mechanical-milling duration of the powder mixture.