The gradient nano-grained (GNG) structures achieve a combination of high strength and ductility compared with homogeneous nano-grained structures. In order to study the mechanical behavior of GNG with extremely small grain size, the systematic tension, compression and cyclic deformation behavior of gradient and homogeneous nano-grained CoCrFeMnNi high-entropy alloy (G-HEA and H-HEA) are studied by the molecular dynamics (MD) simulation. The simulation results show that G-HEA and H-HEA have multiple plastic deformation mechanisms during uniaxial and cyclic loading, such as dislocation slip, deformation twinning, phase transformation from face-centered cubic (FCC) to hexagonal close-packed (HCP), and grain boundary plastic behavior. During uniaxial loading, the heterogeneous deformation makes the yield stress of G-HEA higher than that calculated by the rule of mixture (ROM), indicating an extra strengthening in GNG material. However, the extra strengthening of G-HEA is weakened with increased strain due to the dislocation without piled up in front of the grain boundary and relaxed heterogeneous deformation. During cyclic loading, the sessile dislocations promote the reverse movement of dislocations, resulting in the Bauschinger effect. However, the sessile dislocation density of G-HEA is close to that calculated by the ROM, resulting in the Bauschinger effect of G-HEA close to that calculated by the ROM. Therefore, as an alternative perspective, the MD simulation confirms that dislocation pinning in front of grain boundaries is an important source of extra strengthening for gradient structured materials as revealed by experiments. The results extend the understanding of the deformation mechanism of CoCrFeMnNi GNG HEA with extremely small grain size under tension, compression and cyclic loading.