The self-propagating combustion reaction 0.741Mg + 0.247Fe2O3 + 0.188Ni + 0.318Cr → 0.741MgO + Fe0.494Ni0.188Cr0.318 was applied to prepare a nano-MgO reinforced Fe-Cr-Ni composite, by reactive hot pressing (RHP) under a condition of 700°C/30MPa/2h. The densification was enabled by the low temperatures produced by the exothermic reaction. According to TG-DTA and X-ray diffractometry (XRD), the highly-exothermic thermite reaction began at about 600°C and the in-situ formation of composites comprised predominantly of (FCC) Cr0.19Fe0.7Ni0.11, (FCC) Fe-Cr, (BCC) MgO and a small quantity of (BCC) MgFe2O4. The Vickers hardness was 3.67GPa, the three-point bending strength was 112.5±10MPa, and the fracture toughness was 3.28 MPa•m1/2. The microstructure of the composite was observed via scanning electron microscopy. This indicated that the distributions of in-situ-formed (BCC) MgO phases (~800 nanometers) were homogeneous into in a matrix of a fine-grained metallic alloy phases that gather together to form agglomerates in the composite.