In the present work, the effect of annealing temperature on the phase evolution, morphology, and nanoindentation behavior of the equiatomic AlCoCrFeNi high entropy alloy (HEA) were investigated, and the correlation between the microstructure and nanoindentation behavior in the dendrite core (DC) and inter-dendrite (ID) regions was revealed. The DC and ID regions in the as-cast alloy are composed of disordered A2 particles and ordered B2 matrix. As the annealing temperature increases, the volume fraction of the face centered cubic (FCC) phase first increases and then decreases, leading to complete dissolution of FCC phase at 1200 °C. In addition, annealing at 700 and 800 °C results in the precipitation of the σ phase in the ID region. DSC and thermodynamic calculations were used to analyze the phase evolution of the alloy with temperature. Changes in morphology and phase constituent inevitably affect the mechanical properties of the alloy, which were characterized by nanoindentation for both ID and DC regions. The results show that the ID region displays higher nano-hardness than the DC region in the as-cast and 600–800 °C samples, but there is no difference in the 900–1200 °C temperature range.