CoCrFeNi is a face-centered cubic (FCC) high entropy alloy (HEA) that exhibits high ductility both at room temperature and at cryogenic temperatures but has limited strength. The present study is focused on addition of TiB2 to the CoCrFeNi HEA with the goal of developing materials with better combinations of strength and ductility. HEA composites with varying amounts of TiB2 were prepared by arc melting under an argon atmosphere. The resulting alloys were subjected to chemical, microstructural, and mechanical characterization. Interaction of TiB2 with chromium in the HEA matrix during melting resulted in its decomposition, leading to in-situ formation of chromium borides with plate morphology. A eutectic mixture, consisting of a hard phase (chromium boride) and a tough phase (the FCC matrix) was also developed with the amount of the eutectic mixture increasing with increasing amount of TiB2 added to the HEA. Mechanical characterization of the developed composites revealed a very wide range of mechanical properties, including yield strengths ranging from 180 MPa to 1282 MPa, hardness values ranging from 200 to 750 HV, and elongation ranging from 3.4% to more than 60%. Outstanding combinations of mechanical properties could also be obtained, for example the HEA composite developed by addition of 6 wt% TiB2, exhibited very high hardness (400 ± 10 HV) and very high yield strength (918 MPa), along with very good values of elongation before fracture (30%). The results in this study demonstrate that development of ceramic-reinforced HEA composites can help in obtaining alloys with excellent combinations of strength and ductility.