High Entropy Alloys (HEAs) represent an important class of structural materials because of their high strength, ductility, and thermal stability due to the solid solution nature of the multi-component metallic system. Understanding the mechanical response of isolated phases (FCC and BCC) of a dual-phase HEA is integral to understanding mechanical properties of these special alloys in bulk. We investigate the compressive response of single crystalline cylinders with diameters between 400 nm and 2 µm excised from individual grains within FCC and BCC phases of Al0.7CoCrFeNi HEA at 295 K, 143 K and 40 K. Micro-compression experiments were conducted in an in-situ SEM equipped with a custom-constructed cryogenic setup; FCC samples had a [324] crystallographic orientation, and those extracted from the BCC phase had a [001] orientation. We observed a smaller is stronger size effect in the yield strength as a function of pillar diameter, D, of both alloy phases for all temperatures, τ_y ∝D^m with a power law exponent, m, decreasing from -0.68 at 295K to -0.47 at 143K to -0.38 at 40K for FCC phase, and remaining constant at ~-0.33 for all temperatures for the BCC phase. We also observed reduced work hardening rates and more extensive strain bursts during deformation at lower temperatures in all samples. All deformed FCC samples contained multiple parallel slip offsets for all pillar sizes and temperatures; compressed BCC pillars had wavy slip traces, which are evidence of multiple intersecting slip systems. Transmission Electron Microscopy (TEM) microstructural analysis of the compressed FCC samples reveals parallel slip lines and distorted slip planes, while compressed BCC samples contained entangled dislocation networks, as well as several twinned regions in samples deformed at 40 K. Molecular dynamics (MD) simulations of representative FCC and BCC HEA compressions reveal that deformation in FCC HEAs is dominated by nucleation and propagation of partial dislocations along parallel slip planes but by partial dislocation/twinning in the BCC HEA at all temperatures. Simulations also predict a decrease in stacking fault energy with increased alloying. For example, a reduction in the stable stacking fault energy of the FCC HEA up to 55% with respect to pure constituents is observed. This reduction in stable stacking fault energy may drive the observed deformation mechanisms. We also discuss theories of low-temperature strengthening in HEAs, compare them to our experimental data and assess how they manifest in the observed temperature-dependent size effect.