Thermal stability, structure and mechanical properties of the multi-component Zr58.5Ti8.2Cu14.2Ni11.4Al7.7 bulk metallic glass have been studied in detail. The glassy material displays good thermal stability against crystallization and a fairly large supercooled liquid region of 52 K. During heating, the alloy transforms into a metastable icosahedral quasicrystalline phase in the first stage of crystallization. At high temperatures, the quasicrystalline phase undergoes a transformation to form tetragonal and cubic NiZr2-type phases. Room-temperature compression tests of the as-cast sample show good mechanical properties, namely, high compressive strength of about 1,630 MPa and fracture strain of 3.3%. This is combined with a density of 6.32 g/cm3 and values of Poisson’s ratio and Young’s modulus of 0.377 and 77 GPa, respectively. The mechanical properties of the glass can be further improved by cold rolling. The compressive strength rises to 1,780 MPa and the fracture strain increases to 8.3% for the material cold-rolled to a diameter reduction of 10%.