In this research, an attempt was made to produce multi-component nanocrystalline Cu35Co35Ni20Ti5Al5 alloy by mechanical alloying. To produce this high-entropy alloy, the primary powders were milled for 40 h and characterized by XRD, SEM, EDS, and DSC analyses. The milling process has reduced the size of the crystallites to the nanometer scale and a nanostructured multicomponent powder with a crystallite size of 29 nm was obtained. According to the XRD patterns and EDS maps of the milled powder for the longest time, aluminum and copper were homogeneously distributed, cobalt had a less homogeneous distribution than these two elements, but nickel and titanium remained in concentrated spots. Finally, thermodynamic calculations were done to clarify the reason for the impossibility of forming a solid solution for the synthesis of the Cu35Co35Ni20Ti5Al5 high-entropy alloy.