The powder-in-tube MgB2 wires were prepared by high energy milling of Mg and B powder. The powder was not mechanically alloyed for 2h short milling time. However, the MgB2 grains in wires were very small (20~100nm) and resemble the dimple after post-heat treatment. The clear evidence for transcrystlline fracture was observed. It indicated that the grain connection was greatly improved and the fluxing pinning was significantly enhanced. Another point to view was no intermediate annealing during the whole rolling process. The influence of the post-heat treatment on the transport current density was studied. Despite the lower Tc of about 35K, the transport current density reached to 3×104A/cm2 at 15K and 3.5T for wires sintered at 700°C.