Oxide dispersion-strengthened ferritic steels, ODSFS (e.g., Fe-Cr-W-Ti-Y2O3), are under development as materials that provide irradiation tolerance along with superior high temperatures mechanical properties that are relevant for breeding blanket structures of future fusion power reactors. Refined structure and an ultra-high concentration of Y-Ti-O nanofeatures induced by mechanical milling (under reducing atmosphere) are required in this application. The impurification with nitrogen and oxygen uptaken from the air is very probable during ball-milling, especially at the long time-high energy milling conditions [1]. As a rule, these interstitial impurities in as - milled powders are in quantities under the detection limit of conventional measurement techniques, such as XRD, SEM/EDS, etc. This work aimed to elucidate the tendency for microstructure modification by the nitrogen and oxygen introduced during milling. For this, Fe-14Cr-3W-0.4Ti-0.25Y2O3 (14WTY) ferritic steel powders were produced by milling in air for different durations. The microstructure modification during milling (up to 170h) and upon heating (up to 1350°C) was evidenced by thermal analysis in correlation with X-ray diffraction and scanning electron microscopy. (Fe,Cr)4N, fcc - γ, (Fe,Cr)2O3 and (Fe,Cr)3O4 impurity phases were found in powders milled over 12 h and their thermal evolution and influence on the structural parameters of ferritic phase are described in details.