You can assemble shell, bullet, powder, and primer. You'll be hard-pressed to make any of those components yourself. Shell? could be milled (stamping unlikely

You can assemble shell, bullet, powder, and primer. You'll be hard-pressed to make any of those components yourself. Shell? could be milled (stamping unlikely in your garage) but relatively very expensive and probably imprecise. Bullet? swaging is possible, but possible != precise & accurate; milling is possible but relatively expensive. Powder? probably not to the precise quality needed (just shape of the grains can be an issue, as found in the Vietnam War). Primer? gets well into chemical manufacturing & toxicity issues you don't want to deal with. Yes, it can be done - but you won't be turning out sniper-grade rounds for $1 each.