This study is based on the electrical wire explosion technology and investigates the discharge characteristics, energy deposition, and evolution laws of product structure components during the formation process of AlTiFeNiCu alloy nanoparticles in argon and distilled water media. The experimental platform employs a 50 kV high-voltage power supply, a 4 μF energy storage capacitor, and a coaxial discharge cavity. Using a five-element metal wire (Al, Ti, Fe, Ni, Cu) as the raw material, discharge experiments are conducted at different input voltages of 20/30/37 kV. The results show that the current rise rate is higher in argon, and the energy injection is faster. The distilled water medium has stronger confinement and higher dielectric strength, which can prolong the energy deposition process. The maximum deposition energy is nearly twice that in argon. Different media induced distinctly different particle formation pathways: in argon, the products consisted of BCC/FCC dual-phase solid solutions with relatively better dispersion, whereas in water, the products exhibited smaller particle sizes (<30 nm). However, strong quenching, interfacial reactions, and non-uniform nucleation in water tended to induce elemental segregation, hydrated oxide formation, and aggregation of fine particles. Particles in argon gas exhibit better dispersion stability as voltage increases, while the reduction of magnetic anisotropy and magnetic hysteresis behavior further endows the material with improved soft magnetic behavior. This work clarifies the synergistic role of input energy and medium environment in regulating the structure and properties of the products, providing a basis for the controllable synthesis of alloy nanoparticles by electrical explosion of wires.