Dry mechanochemical ball-milling of halide precursor salts is a promising route for the synthesis of high-purity halide perovskites in a fast and solvent-free manner. However, there is a lack of information on the process mechanisms, kinetics, and possible side-effects. Here, we investigated in detail the mechanochemical synthesis of fully-inorganic CsPbBr3 by ball-milling of stoichiometric CsBr and PbBr2. Detailed structural, morphological and optical analyses reveal several beneficial and detrimental effects of milling as a function of time. Three stages are identified during the process: (i) at short milling times (t < 5 min) different ternary compounds are formed, including stoichiometric CsPbBr3 as well as Cs4PbBr6, and to a lesser extent, CsPb2Br5. Photoluminescence from "nano" and "bulk" CsPbBr3 species is observed, centered at 525 nm and 545 nm, respectively. (ii) At the optimum time (around 5 min for the present case) the complete transformation of all reactants and byproducts into phase-pure CsPbBr3 has occurred. Photoluminescence corresponds to bulk CsPbBr3; (iii) at much longer milling times (up to 10 hours) eventually smaller quantum-confined CsPbBr3 NCs are exfoliated from the bulk product leading to a broad and blue-shifted emission. At this stage the photoluminescence intensity is strongly reduced which is ascribed to the formation of surface defects induced by ball-milling in dry conditions.