Excellent plastic forming ability is a prerequisite for large‐scale production of steel wires in engineering application. The process of traditional steel wire production inevitably needs interannealing treatment and corrosion‐resistant surface treatment (such as hot‐dip galvanizing), consuming a large amount of energy and causing environmental pollution. Herein, a rod of 6.34 mm in diameter, made of Fe35Ni35Cr20Mn10 high‐entropy alloy (HEA), is continually cold drawn to 0.08 mm wire without interannealing, reaching an accumulated strain of 8.73 and a section reduction ratio of 99.98%. The mechanical properties are examined by CMT5105 or CMT4503 tensile tester. The microstructure was characterized by scanning electron microscopy (FEI Sirion‐400) and transmission electron microscopy (FEI Tecani G2 T20). The wire of 0.08 mm in diameter possesses a high strength of 1868 ± 13 MPa. The formation of nanotwins or twin‐groups between the lamellar structures and inside the lamellar structure during cold‐drawing can harmonize the deformation between the lamellar structures and between grains in a lamellar structure that guarantee the continual plastic deformation. The high strength of the prepared HEA wires is related to the great increase in dislocation density, the formation of nanotwins, and hard <111> texture and the refinement of lamellar structures.