Bulk MgB₂ superconductor was synthesized from elemental Mg-B blends employing Reactive Forging (RF) - Thermal explosion mode of Self-propagating High-temperature Synthesis (SHS) - under a moderate pressure of 200 MPa. RF of the stoichiometric Mg-2B blend conducted at 800 °C yielded near-single-phase albeit porous (92% TD) MgB₂, whereas RF at 1000 °C produced a fully dense material containing significant amounts of MgO and MgB₄. The addition of 20-30 wt.% Mg to the starting blend improved material's consolidation behavior at 800 °C, as well as hindered the formation of MgB₄ at 1000 °C. For all the compositions and RF conditions, the combustion temperature, T_comb of approximately 1200 °C was measured. Plastic deformation at T_comb of the ductile MgO phase and/or residual Mg resulted in full density consolidation of the synthesized material. In all the specimens, a superconducting transition was observed at 39 K regardless of their porosity and the amount of second phases. Above 39 K, the electrical resistivity of dense MgB₂ specimens with residual metallic magnesium was 30 times lower than that of the 92% dense near-single-phase MgB₂.