A large variety of synthesis strategies and processing techniques are currently being used to obtain new multicomponent oxides and/or modify existing ones. Among them, mechanochemical processing has become very popular because it is simple to implement, solvent free, and capable of providing enough volume of the target material in an economically viable manner. The preparation of complex oxides can benefit from mechanochemical methods for two important reasons: First, it is not a diffusion-controlled process and thus, high-rate solid state reactions can be promoted between oxides with different physical and chemical properties without using high temperatures; secondly, because reactants are processed under non-equilibrium conditions, uncommon metastable phases are frequently obtained featuring flexible crystal structures, small particle size, high concentration of defects, and off-stoichiometry. Furthermore, conversion to the "true'' equilibrium phases induced by additional processing (e.g., firing) offers the possibility of isolating fairly stable intermediate states with unusual and desirable properties that are inaccessible for more conventional processing techniques. As oxide particles are hard and brittle, the number of oxide systems prepared by means of mechanochemical methods grew rapidly only in recent years when more powerful milling devices and abrasion-resistant milling tools became available. This article summarizes recent work carried out in the field; only dry milling of oxides (and occasionally carbonates) in the absence of additives is considered. Some of the main challenges of mechanochemical processing are also highlighted and discussed.