Si/SiO_x composites have attracted much interest as high capacity materials for lithium-ion battery with their good cycle performance. However, the main problem with Si/SiO_x anode materials is their low initial Coulombic efficiency resulting from the irreversible reaction of SiO_x with Li. In this work, to improve initial Coulombic efficiency, we propose a mechanochemically reduced Si/SiO_x nanospheres through high-energy mechanical milling with reactive Mg metal particles. We found that milling time and the relative amount of Mg metal as a reducing agent are key variables to govern the electrochemical performance of mechanochemically reduced Si/SiOx nanocomposite anode materials. The obtained Si/SiO_x nanospheres exhibited improved initial Coulombic efficiency of 55 % with initial discharge capacity of 1140 mAh g^-1. The microstructure and electrochemical properties of the reduced-Si/SiO_x will be discussed in more detail.