Multistage thermomechanical treatment experiments were conducted on Cu–Ni–Co–Si–Mg alloy strip prepared by the Heating Cooling Combined Mold (HCCM) horizontal continuous casting-cold rolling process. Effects of various heat treatments on the microstructure, mechanical properties, and electrical conductivity of the alloy were studied. The strengthening mechanisms and factors influencing the performance of each process has been analyzed. The tensile strength, yield strength, and electrical conductivity of Cu–Ni–Co–Si–Mg alloy can reach 894 MPa, 855 MPa, and 47.1 %IACS after a third-stage of thermomechanical treatment (TTMT). The cold rolling in first-stage of thermomechanical treatment (FTMT) not only caused work hardening of the alloy but also promoted the precipitation of solute atoms and the growth of second phase particles, limiting the increase in strength. Second-stage of thermomechanical treatment (STMT) effectively hindered the excessive growth of second phase particles in FTMT but shortened recrystallization process. The superior performance of Cu–Ni–Co–Si–Mg alloy after TTMT was attributed to dispersive precipitation of Ni, Co, and Si elements as (Ni, Co) 2Si phases in the copper matrix, strengthening the interaction between the precipitates and dislocations. A short process of HCCM horizontal continuous casting-cold rolling-thermomechanical treatment was developed to produce a high strength and highly electrically conductive Cu–Ni–Co–Si alloy strip used in lead frames.