Powder metallurgy is a promising processing path to produce high entropy alloys (HEA) with improved mechanical properties. According to this, a bulk CoCrFeMnNi alloy was milled with a wide range of conditions. It was shown that a powder which is micronic, approximately spherical and with nanometric crystallites could be produced by a cryo-milling which was followed by a short duration planetary milling. Next, this powder was fully densified by spark plasma sintering. According to X-ray diffraction, the single phase of the bulk alloy remains stable during both milling and sintering. However, carbides and oxides precipitate during sintering, as shown by scanning electron microscopy coupled with energy dispersive spectroscopy. Electron backscattered diffraction evidence that those precipitates limit the growth of grains. By nanoindentation measurements, it was shown that preparing a CoCrFeMnNi HEA by milling and sintering significantly increases the hardness compared to conventional processing by melting and casting. Moreover, the different strengthening contributions were calculated and analyzed. It revealed that grains have a strengthening contribution as described by the Hall & Petch law, contrary to crystallites.