The local structures of the immiscible Fe(100-x)Cu(x) alloys (x= 0, 10, 20, 40, 60, 80 and 100) produced by mechanical alloying have been investigated by XAFS. For the Fe(100-x)Cu(x) (x > or = 40) solid solutions, the local structures around Fe atoms change from bcc structure to fcc one and the Cu atoms maintain the original coordination geometry after milling for 160 hours. On the contrary, the local structures around Cu atoms in both of Fe80Cu20 and Fe90Cu10 alloys appear a transition from fcc to bcc structure. We found that the Debye-waller factor sigma of fcc Fe-Cu phase is larger than that of bcc Fe-Cu phase, and the sigma (0.099 A) around Fe atoms is larger than that (0.089 A) of Cu in the Fe(100-x)Cu(x) (x > or = 40) solid solutions. This suggests that the mechanically alloyed Fe(100-x)Cu(x) supersaturated solid solution is not a homogeneous alloy, and consists of Fe-rich and Cu-rich regions for various compositions. A possible mechanism for bcc-to-fcc and fcc-to-bcc changes in Fe(100-x)Cu(x) solid solutions is discussed in relation to the interdiffusion and transition induced by the ball milling.