This study addresses critical challenges in manufacturing GRCop-42 Cu alloy (Cu-4Cr-2Nb) components via laser-directed energy deposition (LDED). We systematically establish process–microstructure–property correlation for this alloy, demonstrating that laser power critically governs defect formation and mechanical performance. The alloy exhibited optimal microstructure and properties at a laser power of 2000 W, with a room temperature tensile strength of 319 ± 6.5 MPa and an elongation of 25.42 ± 1.9%. The tensile strength in the high-temperature tensile test at 600 °C was measured at 98 ± 3.1 MPa, with an elongation of 15.83 ± 1.5%. The comprehensive performance reaches the optimal value of the processing window. Through cross-scale characterization techniques, the differences in fracture mechanisms at different temperatures are clarified for the first time: at room temperature, a microporous aggregation-type ductile fracture is observed, with plastic deformation primarily dominated by dislocation slip; in a high-temperature environment, due to the weakening of grain boundary strength, the fracture mode shifts to intergranular fracture, and the deformation mechanism evolves into a synergistic effect of dislocation slip and twinning. The findings of this study not only provide valuable insights into optimizing the LDED process parameters for the GRCop-42 alloy but also shed light on the relationship between its microstructure and mechanical properties under different temperature conditions, offering a solid foundation for the further application of this alloy in complex aerospace components.