I made these chess pieces years ago on a lathe and milling machine. They were both cut out of steel with machine tools. After they were cut, each was put through a black-oxide process to produce the finish you see on them.
The only thing that could be a challenge making these is the order of operations with a mill or lathe. My thinking on this (and what I did if I remember correctly) is that the cylindrical cuts should be done first and then the others. So for the castle, the basic shape would be cut out on a lathe, then a “+” would be milled across the top to make the rampart look right. The knight was a bit more complicated, but the same basic concept.
The question that is always asked is, “are you going to make the rest of the set?” The answer is probably no. I just did this as a bit of an experiment and don’t have access to the right tools for this anymore. Although bit-by-bit I seem to be getting closer, so who knows (see my CNC router). For now they make nice paperweights, not that anyone uses paperweights anymore.