In this study, heat treatment was employed to enhance the mechanical properties of an as-cast CrFeNiAl0.28Si0.09Ti0.02Cu0.01 high entropy alloy (HEA) with the heterostructure consisting of face-centered cubic (FCC), body-centered cubic (BCC) and B2 phases. It was observed that, after heat treatment at 873 K for 1 h followed by water-quenching, well-dispersed L12 and L21 nano-precipitates could be formed in FCC phase and BCC phase of this as-cast HEA, respectively. Furthermore, it is worth noting that despite a noticeable reduction in dislocation density, this heat treatment process significantly enhances yield strength, ultimate tensile strength, plasticity and hardness simultaneously, which could be attributed to the formation of nano-scale precipitates mentioned above. These findings provide a novel approach for fabricating high-performance HEAs by introducing complex multi-level heterogeneity.