Poor consolidations and the strength–conductivity trade-off limit the performance of copper alloys fabricated by laser powder bed fusion (LPBF). To address this, this study developed a strategy combining the response surface methodology (RSM) with direct ageing treatment (DAT) to achieve a favorable strength–conductivity synergy. The results showed that under the optimal process parameters, a high relative density of 99.25% (8.95 g/cm³ for theoretical density) was obtained. After direct ageing treatment at 490 °C for 60 min, the CuCrZr exhibited an ultimate tensile strength of 399.31 MPa and a thermal conductivity of 326.53 W/(m·K). To reveal the underlying mechanisms, this study employed a combination of systematic characterization via high-resolution transmission electron microscopy (HRTEM) and quantitative modeling. HRTEM characterized the uniformly dispersed nanoscale body-centered cubic (BCC) Cr precipitates that form semi-coherent interfaces with the face-centered cubic (FCC) Cu matrix, showing a crystallographic misorientation of approximately 10.5° intermediate between the classic Nishiyama–Wassermann and Kurdjumov–Sachs orientation relationships. Quantitative modeling indicates that the high strength arises from a synergistic effect: coherent strain fields exerted by the precipitates effectively pin retained dislocations, coupling Orowan and dislocation strengthening. Meanwhile, solute precipitation reduces lattice distortion, restoring notable thermal conductivity.