In the study, an equiatomic CoCrNiCuZn high-entropy alloy (HEA) was prepared by mechanical alloying (MA) and the phases, microstructures, and thermal properties of the alloy powder were explored. The results suggest that a solid solution with body-centered cubic (BCC) phase and a crystalline size of 10 nm formed after 60 h of milling. Subsequently, the alloy powder was consolidated by spark plasma sintering (SPS) at different temperatures (600 °C, 700 °C, 800 °C, and 900 °C). Two kinds of face-centered cubic (FCC) phases co-existed in the as-sintered samples. Besides, Vickers hardness and compressive strength of the consolidated alloy sintered at 900 °C were respectively 615 HV and 2121 MPa, indicating excellent mechanical properties.