Trimethylaluminum is made by an alkyl exchange process by first reacting a trialkylaluminum which has at least two carbon atoms in its alkyl groups with a methyl halide, optionally in the presence of an alkyl exchange catalyst, and then fractionally distilling trimethylaluminum from the product mixture in the presence of trialkylaluminum having at least two carbon atoms in its alkyl groups so as to convert the dimethylaluminum halide by-product of the alkyl exchange reaction into trimethylaluminum.