A new strategy for the preparation of Cu–Fe alloy with excellent comprehensive performance is proposed. This strategy combines the construction of dual-scale polymetallic second phases with the addition of trace solid-solution atoms. A series of Cu–2Fe-0.3Cr-0.2Si-xMg (x = 0.1, 0.3, 0.5) alloys are designed and prepared through multi-stage thermo-mechanical treatment. Among the reported Cu–Fe alloys with low Fe content (Fe content less than 3 wt%), the designed Cu–2Fe-0.3Cr-0.2Si-0.3 Mg alloy has the highest product of the tensile strength times the electrical conductivity (PSC). The tensile strength and PSC of the Cu–2Fe-0.3Cr-0.2Si-0.3 Mg alloy are 698 MPa and 43.9 GPa∙%IACS, respectively. The dual-scale polymetallic second phase has been successfully constructed. The submicron-scale Fe8CrSi phase triggers the generation of substructures, such as geometrically necessary dislocation boundaries in lamellar structures and random dislocation boundaries in cell shapes. The high-density low angle grain boundaries (LAGBs) of substructure evolution enhances the substructure strengthening of the alloy. The main strengthening phase in precipitation strengthening is the nanoscale Fe11CrSi4 phase. An appropriate amount of Mg reduces the ultimate solid solubility of Fe atoms in Cu alloys, promotes the formation of a dual-scale second phase and refines the grain size of the alloy. Therefore, the comprehensive performance of the design alloy is significantly improved.