An equiatomic CoCrFeNiMn high entropy alloy (HEA) was produced by powder metallurgy method. Cold rolling followed by subsequent annealing was conducted to further optimize the microstructure and mechanical properties. The results show that the SPSed CoCrFeNiMn HEA has an equiaxed single fcc phase microstructrue. Cold rolling results in extensive dislocation pile-up and twinning within the grains. The 80% cold-rolled alloy shows very high yield strength of 1292 MPa, but a limited elongation of 3%. Subsequent annealing produces recrystallization and precipitation of fine σ particles with particle size of 30–100 nm. The annealed alloy has a yield strength of 540 MPa, which is about two to three times of the cast CoCrFeNiMn HEA, while still maintains a high tensile ductility of 41%. The improvement of the tensile properties is caused by the grain boundary strengthening, solid solution strengthening, and precipitation strengthening.