A method of grinding a powder, which grinds a powder using an air stream generated inside a grinding chamber in a jet mill in which there is no place to retain powder inside the grinding chamber is provided. The method includes: a mixing step of mixing an auxiliary agent with the powder; a heating step of heating a high pressure gas; a supplying step of supplying the high pressure gas heated in the heating step into the grinding chamber; an injecting step of injecting the powder in which the auxiliary agent is mixed in the mixing step into the grinding chamber in a predetermined amount in which the concentration of the auxiliary agent inside the grinding chamber is lower than an ignition concentration; and a grinding step of grinding the powder using the air stream generated inside the grinding chamber by the high pressure gas supplied in the supplying step.