High-entropy alloys (HEAs) with a face-centered cubic structure offer numerous advantages, including high plasticity, good processability, and high-temperature resistance. They are also suitable for use as materials in shaped-charge liners, which can cause significant damage. In this study, CoCrFeNi HEAs were prepared, and their mechanical characteristics were examined. The results indicated that the alloy exhibited good plasticity and processability. After dynamic compression, the samples were analyzed using electron backscatter diffraction (EBSD) and transmission electron microscopy (TEM). It was found that dislocation was the primary deformation mechanism at low strain rates. However, as the strain rate increased, the deformation mechanism shifted from dislocations to a combination of dislocations and twinning. The damage performance of the CoCrFeNi HEA was verified through a static penetration experiment using a conical charge. The results were then compared with simulation results obtained using the AUTODYN software. This study demonstrated that the CoCrFeNi HEA could form a condensed, stable-shaped charge jet, leading to efficient damage after penetrating the steel target plate. Therefore, after uniform treatment, the CoCrFeNi HEA can be utilized as a high-energy structural material to design shaped charge structures that achieve highly efficient damage.