The present paper reports local atomic structure investigation of novel AlFeCuCrMgx (x=0.5, 1, 1.7) high entropy alloys (HEAs) produced by mechanical alloying using Fe, Cr and Cu K-edge X-ray absorption near edge spectroscopy (XANES) and extended x-ray absorption fine structure (EXAFS) spectroscopy. XANES spectra measured at Fe and Cr K-edges resemble that of the respective pure metal foils, while the spectrum measured at Cu K-edge manifests the presence of some other phases in the as-milled alloys. The radial distribution functions (RDFs) obtained from Fourier transformation of EXAFS spectra support the formation of disordered BCC structure.