In this study, a kind of novel Al matrix composite reinforced by CoCrFeNi HEA particles was fabricated by cold spray (CS) and subsequent friction stir processing (FSP) for the first time. The microstructure and mechanical properties of cold-sprayed (CSed) and friction stir processed (FSPed) CoCrFeNip/6061Al composites were examined using scanning electron microscopy, energy dispersive spectroscopy, electron backscattering diffraction, X-ray diffraction, and hardness and tensile tests. The results demonstrated that CSed samples exhibited a number of micro-pores in the Al matrix with homogeneous distribution of HEA particles, but heterogeneously distributed grain size. Continuous dynamic recrystallization and geometric dynamic recrystallization occurred at the interface between the HEA particles and Al matrix. Following FSP, the micro-pores were eliminated, and a small amount of HEA particles was fragmented and uniformly dispersed in the Al matrix. Moreover, the average size of HEA particles was refined from ~21–14 µm. The Al matrix exhibited dynamic recrystallization and particle-stimulated nucleation recrystallization, thus resulting in an average grain size of ~1.9 µm. Obvious diffusion layers of 0.5 µm and 1 µm in thickness occurred at the interface between the HEA particles and Al matrix in CSed and FSPed samples, respectively. A new phase with a body-centered cubic structure was confirmed to be an HEA in diffusion layers. Compared with CSed samples, the microhardness, ultimate tensile strength, and elongation of the FSPed samples increased by 91%, 60%, and 130%, respectively. The improved mechanical properties are attributed to the high density and enhanced interfacial bonding. Thus, this study provided a novel method for preparing high-performance Al matrix composites reinforced by HEA particles.