In the present work, an AlCoCrFeNi2.1 high entropy alloy is fabricated by laser energy deposition. Specimens are heated to 700 °C (2#), 850 °C (3#) and 1000 °C (4#), respectively, held for 1 h and cooled in water to investigate the effect of heat-treating conditions on microstructure evolution and mechanical properties of the alloys. FCC(L12) + B2 dual-phase microstructure is acquired from all the four deposits. Ordered FCC (L12) disappears and transforms into B2 particles in 3# and 4#. Original B2 phase and newly formed B2 particles show K–S orientation relationship (OR) with adjacent FCC grains. Nano-sized phase m particles, which contain monoclinic lattice structure and have a composition similar with FCC phase, exist on FCC-BCC phase boundary in all the four deposits. FCC-m phase boundary is coherent. Existence of phase m in 4# indicates that it is stable at temperatures as high as 1000 °C. Precipitate hardening plays an important role in strengthening the materials, while the coarsening of precipitate particles weakens their strengthening effect. The high strength of this alloy group is also attributed to the two-phase interface strengthening effect. Possible reasons for the formation of m particles and their effect on the strength of the material are analyzed.