The contradiction between strength and ductility limits the application of high-entropy alloys (HEAs). To simultaneously improve the strength and ductility of HEAs, the cryogenic treatment was proposed and applied in this paper. The Al_0.6CrFe₂Ni₂ HEA with dual-phase structure was selected as the experimental material for cryogenic treatment. The microstructure and mechanical properties of the HEA in an as-cast and cryogenically treated state were analyzed in detail. The results showed that the grain size of equiaxed crystal in the alloy decreased continuously by prolonging the cryogenic treatment time, and the average value was 44.6 μm for the cryogenically treated HEA at the time of 48 h, which was 46.5% lower than that of the as-cast alloy. The number and size of ordered body-centered cubic (B2) spherical nanophases embedded in the body-centered cubic (BCC) structured inter-dendritic region, however, increased continuously by extending the cryogenic treatment time. The cryogenic treatment also made more slip systems activate, cross-slip occurred in the alloy, and a large number of stacking faults were found in the transmission electron microscopy (TEM) microstructure for the alloy that underwent a long time in cryogenic treatment. The yield strength of the Al_0.6CrFe₂Ni₂ HEA was gradually increased with the increase in cryogenic treatment time, and the maximum yield strength of the 48 h cryogenically treated alloy was 390 MPa, which was 39.3% higher than that of the as-cast. This increase in mechanical properties after cryogenic treatment was attributed to the refinement of grains and the large precipitation of nanophases, as well as the appearance of cross-slips and stacking faults caused by cryogenic treatment.