Different-shaped ultrafine MoNbTaW high-entropy alloy powders were firstly prepared by a convenient mechanical alloying method. The phase composition and microstructure of the powders were characterized. The powders are ultrafine with nano-sized grains and a good homogeneous microstructure. All the powders have a single body-centered cubic solid solution phase and form the high-entropy alloy during mechanical alloying. These powders with different shapes are quite attractive for developing high-performance MoNbTaW high-entropy alloy bulk and coatings combined with a following sintering, spraying, or additive manufacturing technique.