High entropy alloys (HEAs) are a new class of alloys with many excellent mechanical properties, having the potential as structural materials. One advantage of HEAs is the vast space for designing compositions and microstructures, which provides more possibilities to develop fatigue-resistant materials. In this study, a multi-phase fine-grained microstructure was engineered through cold rolling and annealing treatment in Al0.3CoCrFeNi HEA to obtain an enhanced fatigue property. This alloy consists of FCC matrix phase with an average grain size of ∼ 1.13 ± 0.84 μm, and B2 and σ precipitates with sub-micron scale. Their phase fractions are ∼ 90 %, ∼ 9 % and ∼ 1 %, respectively. Stress-life (S-N) data indicate that fatigue endurance limit and ratio in terms of stress amplitude are ∼ 281 MPa and ∼ 0.3, based on stress ratio of 0.1. Good fatigue property is related to high ultimate tensile strength derived from good work-hardening ability and fine microstructure. In addition, activation of deformation twins, blunting of microcracks and deflection of fatigue cracks associated with precipitates are beneficial for enhancement of fatigue resistance. The above results provide theoretical guidance on how to enhance fatigue resistance of HEAs by regulating microstructures.