The crack-resistant compound sleeve roll having a shell portion made of a sintered alloy and a core portion made of steel is produced by (a) charging an alloy powder consisting essentially, by weight, of 1.0-3.5% of C, 2% or less of Si, 2% or less of Mn, 10% or less of Cr, 3.0-15.0% of W, 2.0-10.0% of Mo and 1.0-15.0% of V, the balance being substantially Fe and inevitable impurities, into a metal capsule disposed around a roll core; (b) after evacuation and sealing, subjecting the alloy powder to a HIP (hot isostatic pressing) treatment at 1100.degree.-1300.degree. C. to form a shell portion; (c) after removing the metal capsule, subjecting the sintered shell portion to a heat treatment having hardening at 1140.degree.-1220.degree. C. and annealing at 540.degree.-620.degree. C.; and (d) chamfering edge portions of the roll on both axial ends thereof such that a boundary of the shell portion and the core portion exists in a chamfered surface.