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Mechanical alloying via high pressure torsion (HPT) is studied for the immiscible Cu-Ta system. Stacks of alternating 25 µm thick sheets of pure Cu and Ta were subjected to HPT processing at a pressure of 4 GPa for 10, 30, 50, 100 and 150 revolutions, respectively. The effect of subsequent heat treatment on the phase composition and microstructure evolution of Cu/Ta and pure Cu or pure Ta foil stacks is examined by X-ray diffraction, scanning and transmission electron microscopy and microhardness measurements. The HPT processing of the Cu/Ta assembly by 150 revolutions is shown to produce a mixture of ultrafine grains corresponding to a Cu-16% Ta solid solution with embedded nano-scaled Ta-rich particles and almost pure Ta grains. The microstructure reveals a superior thermal stability and remains fine-grained even after annealing at 1000 °C for 1 h. HPT deformation of pure Cu stacks results in formation of a mixture of pure Cu and CuO, presumably due to availability of numerous interfaces in the assembly, with the existence of the copper mono-oxide being verified by X-ray measurements.