Nanocomposite Bi2Te3 based alloys are attractive for their potentially high thermoelectric figure-of-merit (ZT) around room temperature. The nano-scale structural features embedded in the matrix provide more scattering of phonons and can thus reduce the lattice thermal conductivity. To further take advantage of such nanocomposite structures, we focus on the development of nanocrystalline Bi(Sb)Te(Se) powders by high energy cryogenic mechanical alloying followed by an optimized hot pressing process. This approach is shown to successfully produce Bi(Sb)Te(Se) alloy powders with grain size averaging about 9 nm for n-type BiTe(Se) and about 16 nm for p-type Bi(Sb)Te respectively. This cryogenic process offers much less milling time and prevents thermally activated contamination or imperfections from being introduced during the milling process. The nanocrystalline powders are then compacted at optimized pressures and temperatures to achieve full density compactions and preserve the grain sizes effectively. The resulting nano-bulk materials have optimal Seebeck coefficients and are expected to have improved ZT. Thermoelectric properties and microstructure studies by X-ray diffraction and transmission electron microscopy will also be presented and discussed.