The sigma phase is a well-known harmful phase in transition metal alloys, leading to severe embrittlement due to its inherent brittleness. However, in this work, we develop a new strategy to obtain enhanced strength-ductility combination via the synergistic effects of interlocking co-precipitation of the sigma and L21 phases in Fe40Ni30Cr20Al5Ti5 (at. %) high-entropy alloy (HEA). This HEA exhibits a good strength-ductility combination after aging treatment (800 °C for 4h), with a yield strength (YS) of about 920 MPa and an ultimate tensile strength (UTS) of about 1300 MPa while maintaining a total elongation (TE) of 24 %. It is attributed to the interlocking co-precipitation of the sigma and L21 phases with equal volume fractions into the face-centered cubic (FCC) matrix through thermomechanical treatment. During the tensile deformation, the softer L21 phase coordinates the deformation around the sigma phase, suppresses the local stress concentration, and achieves a stable high work hardening capability, as well as stacking faults (SFs) networks and density Lomer-Cottrell (L-C) locks, contributes to the excellent strain hardening capacity and thus obtains the enhanced strength-ductility combination in the HEA. This study will provide a new strategy to obtain enhanced strength-ductility combination for alloys containing brittle and hard topologically close-packed (TCP) phases, such as the sigma phases.