Heterogeneous laminated structure (HLS) design offers new opportunities to enhance the mechanical performance of high-entropy alloys (HEAs) through synergistic effects from heterogeneity. However, it remains challenging to introduce the HLS into HEAs via severe plastic deformation due to their strong work-hardening capacity. In this study, a specially designed multi-level HLS, characterized by alternatively stacked micro-grained soft CoCrFeNi layers and nanostructured ultra-hard Al0.3CoCrFeNi layers containing a three-phase microstructure (composed of nanograined face-centered cubic matrix, (Al, Ni)-rich B2 precipitates, and Cr-rich σ precipitates), is controllably introduced into FCC HEAs via a conventional thermo–mechanical processing involving hot-pressing, cold-rolling, and annealing. Meanwhile, thermo–mechanical processing induces Al element diffusion across the layer interface, resulting in the formation of an interfacial transition layer and the establishment of a strong interface bonding between the neighboring CoCrFeNi and Al0.3CoCrFeNi layers. As a result, the multi-level HLSed CoCrFeNi/Al0.3CoCrFeNi composite exhibits a yield strength as high as 1127±25.4 MPa while maintaining a large fracture elongation (up to (26.3±2.4)%). Such an excellent strength–ductility synergy surpasses that of most previously reported high-performance monolithic bulk CoCrFeNi and Al0.3CoCrFeNi HEAs prepared through careful chemical composition optimization and/or thermo–mechanical processing. Strong hetero-deformation induced strengthening benefited from the apparent microstructural/microhardness difference and the strong interface bonding between the neighbouring CoCrFeNi and Al0.3CoCrFeNi layers, together with simultaneous activation of multiple strain hardening mechanisms containing mechanical twinning, stacking faults and precipitation strengthening, is responsible for the excellent strength–ductility combination. This multi-level HLS and its fabrication strategy provide an enlightening way to develop strong and ductile HEAs and can also be applied to high-performance designs of other metallic materials.