Disclosed is a process for making an oxide dispersion-strengthened tungsten heavy alloy by mechanical alloying that includes the steps of: adding 0.1 to 5 wt. % of Y.sub.2 O.sub.3 powder to a mixed powder comprising more than 90 wt. % of tungsten powder, and nickel and iron powders for the rest; and subjecting the resulting mixture to a mechanical alloying to prepare an oxide dispersion-strengthened tungsten heavy alloy powder. The oxide dispersion-strengthened tungsten heavy alloy prepared by the mechanical alloying is characterized in that fine Y.sub.2 O.sub.3 particles are uniformly dispersed in the matrix which are stable at high temperatures results in enhanced high-temperature strength and a reduction of the shearing strain of the fraction during high strain rate deformation.