Advanced manufacturing technologies have imposed higher demands on the strength, hardness, and high-temperature stability of materials, such as cutting tools, molds, and wear-resistant parts. Metal matrix composites with excellent comprehensive properties are expected to meet these demands. High-entropy alloys (HEAs), composed of unique multi-principle elements, offer high strength, hardness, and excellent high-temperature stability, superior to traditional cemented carbides in some cases. Here, the AlCoCrFeNi 2.1 HEA reinforced by TiB 2 was fabricated by an innovative alliance of mechanical alloying (MA) and spark plasma sintering (SPS). It was found that tuning the milling time and content of the reinforced phase could effectively realize the uniform distribution of the TiB 2 reinforcement phase in the matrix. The AlCoCrFeNi 2.1 with 5 vol.%TiB 2 after MA for 2 h resulted in the particle refinement of TiB 2 and the uniform distribution of TiB 2 in the matrix. And the bulk sintered at 1150 °C exhibited an excellent combination of a compressive yield strength of 1510 MPa, a compressive strength of 2500 MPa, and a high hardness of 780 HV. The analysis of different strengthening mechanisms suggests that the fine grain strengthening and precipitation strengthening make the HEA composite possess excellent compressive yield strength and fracture strength.