Metal foams are in great demand in extreme service environments with cryogenic temperatures and high strain rates due to their unique properties. However, the reduced ductility and impact toughness under such conditions limit their applications. In this work, we tested the quasi-static and dynamic compression properties of CoCrFeMnNi high entropy alloy syntactic foam at liquid nitrogen temperature (−196 °C). We found that it exhibits ultra-high strengths and energy absorption capacity, especially a superior resistance to embrittlement at cryogenic temperature. Microstructural characterizations reveal that the foam matrix has a high twinning activity and shear localization propensity in cryogenic environments. Dense deformation twins and multiple shear bands intersected, forming a weave-like microstructure that can disperse the deformation and benefits energy absorption. Deformation twins can also strengthen the matrix and delay the crack nucleation and growth. While under dynamic loading, an FCC to HCP phase transformation was activated, forming a nano-laminated dual-phase (NLDP) FCC/HCP structure in the matrix, leading to further strengthening and toughening. Deformation twinning and HCP phase transformation act as additional plastic deformation mechanisms along with stacking faults and shear bands to offset the shortcomings caused by limited dislocation movements at low temperatures and high strain rate dynamic loading, enabling the high strength and energy absorption of the syntactic foam.