The thermoelectric materials community has made significant progress on nanostructured and processable materials to improve efficiency and flexibility, reducing manufacturing costs. Selenide compounds, such as Ag₂Se and Cu₂Se, have received a lot of attention because of their promising capabilities in thermoelectric applications. Additionally, Se is significantly more abundant than Te, with approximately ten times higher availability. High-energy ball milling (HEBM) process is a powerful solid-state synthesis/powder mechanical alloying method. The objective of this work is to form selenide compounds at different milling times (1–20 h) by HEBM process. The structural characterization of the compounds was studied by X-ray Diffraction and X-ray Photoelectron Spectroscopy, while the thermal stability of the prepared samples was examined by Thermogravimetric Analysis. The experimental results show that the Ag₂Se sample synthesized at 20 h presents lower thermal stability because of the higher specific surface area and the increased porosity as a result of the hardening effect. Additionally, Cu₂Se presents Cu₂O(SeO₃) as the main phase at low temperatures, while at higher temperatures, CuO is the dominant phase. Therefore, as the heating temperature increases, there is a complete evaporation of Se and a conversion of the remaining copper into copper oxide. The present study demonstrates a simple method for the synthesis of Ag₂Se and Cu₂Se thermoelectric materials with high oxidation resistance.