The microstructures and cryogenic mechanical properties of dissimilar friction stir welding (FSW) joints between nitrogen-alloyed CoCrFeMnNi high-entropy alloys (HEAs) and Fe–32.1Mn–7.5Cr–0.6Mo–1.2 N steel were investigated. The results reveal that defect-free dissimilar joints can be achieved through FSW. Furthermore, the grains of nitrogen-alloyed CoCrFeMnNi HEAs in the stir zone of the dissimilar joint are significantly more refined than those of Fe–32.1Mn–7.5Cr–0.6Mo–1.2 N steel. Joint efficiency at room and low temperature both exceed 90% of the base metal. Moreover, the cryogenic yield and ultimate strength of the dissimilar joints are higher than those recorded at room temperature. The fracture position is at the heat-affected zone of HEAs under two temperature conditions.