A CoFeMnNi medium-entropy alloy (MEA) was prepared by mechanical alloying (MA) and spark plasma sintering (SPS). The mechanically alloyed powders were sintered to near-full density and the as-sintered material consists of FCC matrix comprising a minor distribution of oxide particles. A high twin density is observed in MEA bulk samples. The twins are not generated during high-energy ball-milling but formed in the recrystallized grains during the sintering process. Compressive and tensile tests were performed on the sintered specimen at room temperature. The tension-compression yield asymmetry is weakened with increasing sintering temperature. An ultrafine-grained microstructure with an average grain size of 535 nm is obtained at a sintering temperature of 1000 °C. The sintered MEA exhibits an enhanced yield strength of 740 MPa, which is by 244% higher than that of its coarse-grained counterpart, meanwhile maintaining a sufficient tensile ductility of 14.4%. These excellent mechanical properties mainly stem from the high relative density, fully recrystallized ultrafine grains, and precipitation of fine particles that significantly strengthen the material while simultaneously providing high strain-hardening capability.