The invention is concerned with a process for the preparation of a supported catalyst having a nanocrystalline structure and a surface area preferably higher than 2 m2/g. The process comprises preparing by mechanical grinding a nanocrystalline material consisting of a metastable composite or alloy of at least two different elements or compounds containing at least one catalytic species and subjecting the nanocrystalline material to leaching with a leaching solution in order to eliminate totally or partially at least of one of the two elements or compounds, other than the at least one catalytic species. At least one further element or compound that is non-leachable and that acts as a support for the at least one catalytic species is added to the material during the grinding step or to the leaching solution during the leaching step.