The aim of this study was to evaluate the possibilities offered by severe plastic deformation to prepare nanoscaled composites based on a bulk metallic glass. High pressure torsion was applied to a mixture of aluminium and metallic glass powders to process a composite at the nanoscale. Ultimate mixing of the two phases was achieved for a very large level of deformation resulting in a fully amorphous structure. Using analytical scanning transmission electron microscopy, nanoscaled chemical gradients were clearly exhibited. The very high strength (HV similar to 700) of the final metallic glass is attributed to this unique nanoscaled composition modulated structure. The role of shear bands both in the partial mixing and in the amorphization mechanism is discussed on the basis of a simple geometrical model.