In the present work, the structure and magnetic properties of strontium hexaferrite powder during milling in various media and subsequent annealing were studied. The milling of the powder leads to an abrupt decrease in the powder particle size and the average crystallite sizes as well as an increase in lattice microstrains of the SrFe12O19 phase. During milling in toluene, no changes in the phase composition were observed, whereas, during milling in water, the Fe2O3 phase (type H1.1) is formed. In the powder milled in oleic-acid-containing toluene a small quantity of α-Fe was found. After milling, the saturation magnetization and remanence decrease; at the same time, the coercive force of the powder milled in toluene is unchanged with increasing milling time, but slightly increases after milling in water and in oleic-acid-containing toluene. The annealing allowed us to increase the magnetic properties of the powder. It is conditioned by formation of nanocrystalline state. Moreover, the magnetic properties values depend on the medium and time of milling. The annealed powders are characterized by the following magnetic properties: μ0Hci = 0.42 ÷ 0.49 T, Br = 0.23 ÷ 0.24 T, (BH)max= 8-9.6 kJ/m3.