We present an experimental investigation of the immiscible alloy system Mo-Na with different Na concentrations between 1 and 8 at.%. These non-equilibrium alloys were created by mechanical alloying utilizing high-energy ball milling for up to 75 h. The different microstructures, particle-size distributions, and Na contents of the as-milled powder have been studied using transmission electron microscopy and scanning electron microscopy combined with energy-dispersive X-ray analysis. The maximum Na concentration incorporated into the Mo-Na alloy is identified to be 2 at.%. In addition, the thermal stability of the alloy was examined by analyzing the Na content after annealing at different temperatures and annealing times. While after milling with 1 at.% Na, the establishment of a solid solution was proved previously, the formation of a solid solution is limited to about 1.2 at.% if more Na is used. The residual incorporated Na is segregated at pores, defects, and grain boundaries.