High entropy alloys present many promising properties, such as high hardness or thermal stability, and can be candidates for many applications. Powder metallurgy techniques enable the production of bulk alloys with fine microstructures. This study aimed to investigate powder metallurgy preparation, i.e., mechanical alloying and sintering, non-equiatomic high entropy alloy from the Al-Cr-Fe-Mn-Mo system. The structural and microstructural investigations were performed on powders and the bulk sample. The indentation was carried out on the bulk sample. The mechanically alloyed powder consists of two bcc phases, one of which is significantly predominant. The annealed powder and the sample sintered at 950 °C for 1 h consist of a predominantly bcc phase (71 ± 2 vol.%), an intermetallic χ phase (26 ± 2 vol.%), and a small volume fraction of multielement carbides—M6C and M23C6. The presence of carbides results from carbon contamination from the balls and vial during mechanical alloying and the graphite die during sintering. The density of the sintered sample is 6.71 g/cm3 (98.4% relative density). The alloy presents a very high hardness of 948 ± 34 HV1N and Young’s modulus of 245 ± 8 GPa. This study showed the possibility of preparing ultra-hard multicomponent material reinforced by the intermetallic χ phase. The research on this system presented new knowledge on phase formation in multicomponent systems. Moreover, strengthening the solid solution matrix via hard intermetallic phases could be interesting for many industrial applications.