Oxide Dispersion Strengthened (ODS) Fe with $Al_2O_3$ dispersoid was successfully produced by reactive milling with a mixture of Fe, $Fe_3O_4$ (Magnetite), $Fe_2O_3$ (Hematite) and Al reactants at cryogenic temperature. The milled powders were consolidated by Vacuum Hot Press (HP) at 1323 K, and the consolidated materials were characterized by Transmission Electron Microscopy (TEM), Scanning Transmission Electron Microscopy (STEM), and Energy Dispersive Spectroscopy (EDS); the yield strength and the hardness of the consolidated materials were determined by compressive test and Vickers hardness test at room temperature. The grain size of the materials was estimated by X-ray Diffraction technique using the scherrer's formula. The TEM observations showed that the microstructure was comprised with a mixture of nanocrystalline Fe matrix and $Al_2O_3$ nano-dispersoids with a bimodal size distribution; the 0.2% off-set yield strength of the materials was as high as $758{\pm}29$ MPa and the Vickers hardness was $358{\pm}2$. The effect of the cryogenic milling and addition of extra Fe powder was discussed on the suppression of MSR (Mechanically induced Self-sustaining Reaction) for the desired microstructural evolution of ODS alloys.