It is essential to improve the braking performance of friction materials for high-speed trains. Copper-based friction materials reinforced with AlCoCrFeNi high-entropy alloy (HEA) contents of 0–40 wt% were prepared by powder metallurgy, and the braking performance of these materials at braking speeds of 40, 80, 120, and 160 km/h was investigated. The composition of AlCoCrFeNi HEA particles changes due to the elemental diffusion and alloying between AlCoCrFeNi HEA particles and the copper matrix during sintering. With the AlCoCrFeNi content increasing, the amount of interfaces between AlCoCrFeNi particles and Cu matrix increases and the bending strength of the materials decreases, owing to the formation of oxides. The friction coefficient, braking time, and absorbing power of copper-based friction materials can be significantly improved by adding AlCoCrFeNi particles. However, the improvement in their wear resistance is not significant. The spalling pits and oxides are detected on the worn surfaces. The dominant wear mechanisms of copper-based friction materials are spalling and oxidation.