Methods of forming earth-boring rotary drill bits include providing a bit body, providing a shank that is configured for attachment to a drill string, and attaching the shank to the bit body. Providing a bit body includes providing a green powder component having a first region having a first composition and a second region having a second, different composition, and at least partially sintering the green powder component. Other methods include providing a powder mixture, pressing the powder mixture to form a green component, and sintering the green component to a final density. A shank is provided that includes an aperture, and a feature is machined in a surface of the bit body. The aperture is aligned with the feature, and a retaining member is inserted through the aperture. An earth-boring bit includes a bit body comprising a particle-matrix composite material including a plurality of hard particles dispersed throughout a matrix material. A shank is attached to the bit body using a retaining member.