In this work, ultrasonic shot peening (USP) was performed for a CrMnFeCoNi high-entropy alloy with an equal atomic ratio to improve the mechanical performance at room temperature. The microstructure evolution and mechanical properties of the CrMnFeCoNi high-entropy alloy under different USP durations were studied. The effects of USP-induced grain refinement, phase transformation, strengthening, and fracture morphologies were analyzed. The results indicated that a certain thickness of compressive residual stress layer with nanocrystalline was formed on the surface of the alloy. After USP, the phase was transformed from the FCC phase to the mixed dual phases FCC+BCC. The alloy exhibited a strength-ductility balance, with hardness and strength enhanced significantly, while elongation to failure remained at around 30%. Additionally, the sample before USP exhibited a typical ductile fracture, while after USP, it was transformed into a mixed fracture of dimple and quasi-cleavage or cleavage. The crack initiated from the sub-surface rather than the initial surface, and then propagated to the interior structure after coming into contact with the surface strengthening layer, effectively delaying the failure of the material. It was demonstrated that the ultrasonic shot peening treatment is a general and efficient physical strengthening method for high-entropy alloy at room temperature.