This study was conducted to investigate the characteristics of the AlCrCuFeNi high-entropy alloy (HEA) synthesized through mechanical alloying (MA). In addition, effects of Process Control Agent (PCA) amount and milling time were investigated using X-ray diffraction analysis (XRD), scanning electron microscopy (SEM), and energy dispersive X-ray spectroscopy (EDS). The results indicated that the synthesized AlCrCuFeNi alloy is a dual phase (FCC + BCC) HEA and the formation of the phases is strongly affected by the PCA amount. A high amount of PCA postponed the alloying process and prevented solid solution formation. Furthermore, with an increase in the PCA amount, lattice strain decreased, crystallite size increased, and the morphology of the mechanically alloyed particles changed from spherical to a plate-like shape. Additionally, investigation of thermal properties and annealing behavior at different temperatures revealed no phase transformation up to 400 °C; however, the amount of the phases changed. By increasing the temperature to 600 °C, a sigma phase (σ) and a B2-ordered solid solution formed; moreover, at 800 °C, the FCC phase decomposed into two different FCC phases.