To explore the potential engineering applications of eutectic high entropy alloys (EHEA), the interfacial microstructure and mechanical properties of the diffusion bonded joint between AlCoCrFeNi2.1 EHEA and 304 stainless steel were investigated. The diffusion zone was composed of solid solution zone and Fe2Al5 intermetallic compound zone. Due to the difference in the element diffusion rates between the dissimilar base metals and that between the two phases of EHEA, a solid solution region composed of FCC phase and γ-Fe phase is constructed on the EHEA side near the interface, which enhances the shear strength of joint. Besides, the shear strength of joint first increases and then decreases. The maximum shear strength of 355 MPa is obtained at 980 °C, 60 min, and 30 MPa. The interlocking structure and local solid solution structure are formed in the diffusion zone, thus synergistically enhancing the shear strength of joint.