The effects of cold rolling and subsequent annealing on the microstructures and mechanical properties of Fe40Mn20Cr20Ni20 high-entropy alloys (HEAs) are investigated. The Cr-rich secondary phases with a tetragonal structure (σ phases) in the Fe40Mn20Cr20Ni20 HEAs are precipitated upon annealing at 600 °C-900 °C for 2 h. The prepared Fe40Mn20Cr20Ni20 HEA annealed at 800 °C for 2 h after cold rolling has a good combination of strength and elongation, with a high yield strength of 438 MPa, a high ultimate tensile strength of 676 MPa, and an excellent elongation to fracture of 32%. The mechanical properties at cryogenic temperature are better than those at room temperature. Typically, for the incompletely recrystallized alloy annealed at 700 °C, the yield strength, tensile strength, and elongation after fracture are increased by 26%, 22%, and 100%, respectively. This trend mainly depends on dislocation and twinning strengthening. The σ phases also improve the cryogenic tensile properties. Furthermore, the recrystallization kinetics of the Fe40Mn20Cr20Ni20 HEAs are explored to correlate with the deformation behavior.