Milling media of steel and zirconia were used to produce $MoSi_2$ by mechanical alloying (MA) of Mo and Si powders. The effect of milling media on MA of Mo-65.8at%Si powder mixture has been investigated by SEM, XRD, DTh and in-situ thermal analysis. The powders mechanically alloyed by milling medium of steel for 8 hours showed the structure of fine mixture of Mo and Si, and those mechanically alloyed by milling medium of zirconia for longer milling time showed the structure of fine mixture of Mo and Si. The tetragonal $alpha$-$MoSi_2$ Phase and the tetragonal $Mo_5Si_3$ phase appeared with small Mo peaks in the powders milled by milling medium of steel for 4 and 8 hours. The $alpha$-$MoSi_2$ phase and the hexagonal $eta$-$MoSi_2$ phase were formed after longer milling time. The $alpha$-$MoSi_2$ phase appeared with large Mo peaks in the powders milled by milling medium of zirconia for 4 hours. The phases, $alpha$-$MoSi_2$ and $eta$-$MoSi_2$. were formed in the powders milled for longer milling time. DTA and annealing results showed that Mo and Si were transformed into $alpha$-$MoSi_2$ and $Mo_5Si_3$, while $eta$-$MoSi_2$ into $alpha$-$MoSi_2$. In-situ thermal analysis results demonstrated that there were a sudden temperature rise at 212 min and a gradual increase in temperature in case of milling media of steel and zirconia, respectively. The results indicate that MA can be influenced by materials of milling medium which can give either impact energy on powders or thermal energy accumulated in vial.