Immiscible bimetallic composites are a kind of transpiration cooling material with potential in high-temperature service. Aiming at boosting their load-bearing capacity, the refractory phase was replaced with the multi-principal refractory high-entropy phase in the present work. Bi-phase metallic nanocrystalline NbMoTaW–Cu composites were fabricated successfully by the powder metallurgy method. The average grain size of the NbMoTaW phase in the sintered composite was kept to be 15 nm. Two interfacial configurations of BCC/FCC and BCC/amorphous/FCC were found in the composite. Using atom probe tomography, notable compositional inter-diffusion between the immiscible metals was disclosed, and the thickness of the mutual diffusion layer in the NbMoTaW–Cu composite was 2.2 times that in the W–Cu composite. The mechanisms of entropy effect on the formation of amorphous configuration and interfacial mutual diffusion were explained based on thermodynamic calculations. The yield strength and Vickers hardness of the nanocrystalline NbMoTaW–Cu composite are 52% and 27% higher than those of the W–Cu counterpart, respectively. In addition, the NbMoTaW–Cu composite processes excellent resistance to high-temperature softening even at 900 °C. The improved mechanical properties were associated with solid solution strengthening of the refractory metal phase, as well as the constraint effect and strengthening of interface between the refractory metal and Cu phases. This work provides novel guidance for designing advanced immiscible metallic composites with excellent mechanical performance.