A method of forming pellets or agglomerates of high density boron nitride from high purity hexagonal boron nitride by crushing the high purity hexagonal boron nitride into boron nitride particles extending over a size range of at least 100 microns with the majority of the particles having a particle size above 50 microns and cold pressing the crushed particles into a compacted form. The compacted form is then granulated into a granulated powder and again cold pressed to form pellets or agglomerates of boron nitride particles with the operations of cold pressing and granulation occurring in one or more stages.