Tungsten (W) alloy is of difficulty in processing for conventional way because of its high melting point. Here, W alloy sample with the addition of 3 wt% Ta was prepared by selective laser melting. The influence of volumetric energy density (VED) on the surface morphology and the relative density was discussed, and microstructure, phase composition, and microhardness were investigated. The results show that a smooth surface and high relative density (95.79%) can be obtained under optimal VED. The W–Ta substitutional solid solution formed because of the replacement of Ta atom. There are strip and block fine grains in the W–3Ta sample with no significant texture. In addition, subgrain structure with a size of around 1 μm formed inside the strip grain, owing to the large thermal gradient and extremely fast cooling rate. Finally, the W–3Ta alloy shows higher microhardness than that obtained by traditional methods.