In this study, a high energy ball milling process was employed in order to improve the densification of direct nitrided AlN powder. The densification behavior and the sintered microstructure of the milled AlN powder were investigated. Mixture of AlN powder doped with 5 wt.% $Y_2O_3$ as a sintering additive was pulverized and dispersed up to 50 min in a bead mill with very small $ZrO_2$ beads. Ultrafine AlN powder with a particle size of 600 nm and a specific surface area of 9.54 $m^2/g$ was prepared after milling for 50 min. The milled powders were pressureless-sintered at $1700^{circ}C-1800^{circ}C$ for 4 h under $N_2$ atmosphere. This powder showed excellent sinterability leading to full densification after sintering at $1700^{circ}C$ for 4 h. However, the sintered microstructure revealed that the fraction of yitttium aluminate increased with milling time and sintering temperature and the newly-secondary phase of ZrN was observed due to the reaction of AlN with the $ZrO_2$ impurity.