CdSe nanocrystals have been successfully synthesized by mechanical alloying Cd and Se elemental powders. XRD results show that CdSe compound have been fabricated after mechanical alloying the elemental powders for less than 4h. The structure of those CdSe nanocrystals was difficult to be identified from XRD diffraction patterns due to the broadening effect. HRTEM images as well as Fourier transformation in reciprocal space provide a good pathway to identify the structure of individual CdSe nanocrystals, whose dominate phase was determined to be wurtzite structure in the 4h as-milled sample as well as zinc blende structure in 40h as-milled sample. A phase transition took place upon these CdSe nanocrystals when the mechanical alloying process prolonged to 40h. An amorphous thin oxide layer covering on the surface of the as-milled CdSe nanocrystals was observed on HRTEM images, which was assigned to be SeO 2 and SeO 3 by X-ray photoelectronic spectroscopy (XPS). Subsequent capping the surface of as-milled CdSe nanocrystals with long chain TOP/TOPO molecules has achieved colorful dispersion colloid solution, which shows similar optical properties to those CdSe nanocrystals prepared by wet chemical process. The energy of absorption peaks for the capped CdSe nanocrystals is tunable upon the grain size due to the quantum confinement effect. A pair of twin excitation peaks appeared in the optical absorption spectrum of strong confined CdSe nanocrystals with a gap of 35meV, the additional peak was either corresponding to a second size distribution center or attributed from the lattice crystal field splitting at zone center.