An R—Fe—B based rare-earth alloy powder with a mean particle size of less than about 20 μm is provided and compacted to make a powder compact. Next, the powder compact is subjected to a heat treatment at a temperature of about 550° C. to less than about 1,000° C. within hydrogen gas, thereby producing hydrogenation and disproportionation reactions (HD processes). Then, the powder compact is subjected to another heat treatment at a temperature of about 550° C. to less than about 1,000° C. within either a vacuum or an inert atmosphere, thereby producing desorption and recombination reactions and obtaining a porous material including fine crystal grains, of which the density is about 60% to about 90% of their true density and which have an average crystal grain size of about 0.01 μm to about 2 μm (DR processes). Thereafter, the porous material is subjected to yet another heat treatment at a temperature of about 750° C. to less than about 1,000° C. within either the vacuum or the inert atmosphere, thereby further increasing its density to about 93% or more of their true density and making an R—Fe—B based microcrystalline high-density magnet.