Three types of TiB2-HEA ceramic composite were prepared using a non-equimolar ratio CoCrFeNiW0.2 high entropy alloy (HEA) as a binder, mechanical alloying (MA), and 1600 °C pressureless sintering (PS) processes. The phase analysis results indicate the presence of TiB2, FCC, and TCP phases in the TiB2-HEA composite. A detailed study was conducted on the microstructure of TiB2-HEA composite. The results indicate that there is a certain solid solubility between TiB2 and HEA. The Ti and B elements in TiB2 will enter HEA, and the elements in HEA will also enter TiB2. Along with the discovery of many lattice distortion regions in TiB2, a diffraction pattern of P-43m cubic structure was also observed in HEA. HEA has good wettability with TiB2, so it can not only inhibit the grain growth of TiB2, but also improve the performance of TiB2-HEA composite by utilizing the inherent excellent properties of HEA. There are both intergranular and transgranular fractures in the TiB2-HEA composite. The relative density, flexural strength, Vickers hardness, fracture toughness, and electrical resistivity of TiB2-30 wt%HEA are 99.7%, 680 MPa, 18.6 GPa, 6.4 MPa m1/2, and 5.7 × 10−7 Ω m, respectively.