The remarkable mechanical properties exhibited by laminated structures have generated significant interest in the realm of additively manufactured laminated high-entropy alloys (HEAs). Despite this burgeoning interest, the nexus between process, structure, and properties within laminated HEAs remains largely uncharted. There is a vast space for investigating the effect of the typical heterogeneous interface on the macroscopic mechanical properties. This study focuses on the influence of the characteristic heterogeneous interface on macroscopic mechanical properties of laminated HEAs, particularly anisotropy. Using the 3D-printed Fe50Mn30Co10Cr10-CoCrNi HEA as a model, we investigate the impact of interface geometry on mechanical characteristics. Tensile tests show that the reduced interface spacing increases yield strength. This laminated HEA displays significant anisotropy in strength and ductility, depending on the loading direction relative to the interface. Electron microscopic observations suggest that finer layer spacing enhances interface and dislocation strengthening, increasing yield strength. Anisotropic behaviors are confirmed to be mediated by interface orientation, explained in terms of deformation compatibility and crack development at the interface. This research offers fundamental insights into the relationship between heterogeneous interfaces and the mechanical properties in laminated HEAs. The knowledge is vital for designing, fabricating, and optimizing laminated HEAs through additive manufacturing, advancing their engineering applications.