Since the discovery of superconductivity at 39 K in MgB₂, it has been considered as one of the most promising candidates for engineering applications due to its low material cost and relativity high critical transition temperature. However, the realization of large-scale application for MgB₂ based superconducting technology essentially relies on the improvement of superconducting properties of MgB₂. Some techniques have been developed to improve the critical current density, such as chemical doping, high-energy ball milling and various processing techniques. We introduce some research progress of MgB₂ superconducting materials prepared by high-energy ball milling. The investigation showed high-energy ball milling is effective to obtain high density and fine grain size MgB₂with high J_c performance. We also introduce that high J_c MgB₂ was synthesized by two-step reaction method and high-energy ball milling. High-energy ball milling may be a good choice for reducing the void percentage and enhancing the average density in MgB₂ long wires.