TiAl based alloy with ultrafine grain structure were prepared by mechanical alloying and spark plasma sintering (SPS). And high temperature cycle oxidation behavior was tested by DSC. The effects of mechanical alloying on the fine-grain microstructure and high temperature oxidation resistance were investigated. Result show that the fine microstructure is attributed to ball milling. Fine and nodular TiAl and Ti3Al phases are formed after ball milling and SPS. Fine microstructure display higher oxidation resistance under high temperature cycle oxidation condition. The oxidation resistance of TiAl based alloy is improved with Nb content increasing. The oxidation rate is the fastest in the heating stage.