Nd40Fe30Co15Al10B5 bulk amorphous prepared by high energy milling shows a coercivity of 8.1 kOe with a Curie temperature of 645 K. The controlled nanocrystallization enhances the coercivity to 20 kOe and the remanence ratio is equal to 0.59. The coexistence of two crystalline magnetic phases, ferromagnetic Nd2(Fe,Co,Al)14B and antiferromagnetic Nd6(Fe,Co,Al)14 are revealed by x-ray diffraction, high-resolution transmission electron microscopy, magnetization measurements, and Mössbauer spectrometry. The grain size for optimal magnetic properties is around 30 nm. The nucleation process may play a leading role in the high magnetic behavior.