One of the most important issues in materials science is to overcome the strength–ductility trade-off in engineering alloys. The formation of heterogeneous and complex microstructures is a useful approach to achieving this purpose. In this investigation, a CoCrFeNiMn high-entropy alloy was processed via cold rolling followed by post-deformation annealing over a temperature range of 650–750 °C, which led to a wide range of grain sizes. Annealing at 650 °C led to the formation of a heterogeneous structure containing recrystallized areas with ultrafine and fine grains and non-recrystallized areas with an average size of ~75 μm. The processed material showed strength–ductility synergy with very high strengths of over ~1 GPa and uniform elongations of over 12%. Different deformation mechanisms such as dislocation slip, deformation twinning and hetero-deformation-induced hardening were responsible for achieving this mechanical property. Increasing the annealing temperature up to 700 °C facilitated the acquisition of bimodal grain size distributions of ~1.5 and ~6 μm, and the heterogeneous structure was eliminated via annealing at higher temperatures, which led to a significant decrease in strength.