In order to reveal the relationship between microstructure evolution and mechanical properties of CoCrFeMnNi high entropy alloys (HEAs), samples were prepared by directional solidification process with different cooling rates. The solidified phases of CoCrFeMnNi HEA including two different FCC phases, CoCrFeNi3-enriched FCC1 phase and MnNi-enriched FCC2 phase. When the cooling rate increased from 30 × 10−3K/s to 600 × 10−3K/s, the preferred orientation of CoCrFeNi3 transformed from (001) to (101), and the preferred orientation of MnNi transformed from (010) to (110). Meanwhile, the primary dendritic arm spacing decreased from 500 μm to 100 μm, and the secondary dendritic spacing decreased from 120 μm to 10 μm. The yield strength increased from 270 MPa to 428 MPa, and the ultimate tensile strength increased from 392 MPa to 584 MPa. The grain boundary strengthening plays a vital role in the strengthening of directionally solidified CoCrFeMnNi HEA, and the fracture morphology demonstrated the fracture mechanism is ductile fracture.