Herein, we carefully investigate the effect of nitrogen doping in the equiatomic CoCrFeMnNi high-entropy alloy (HEA) on the microstructure evolution and mechanical properties. After homogenization (1100 °C for 20 h), cold-rolling (reduction ratio of 60%) and subsequent annealing (800 °C for 1 h), a unique complex heterogeneous microstructure consisting of fine recrystallized grains, large non-recrystallized grains, and nanoscale Cr2N precipitates, were obtained in nitrogen-doped (0.3 wt.%) CoCrFeMnNi HEA. The yield strength and ultimate tensile strength can be significantly improved in nitrogen-doped (0.3 wt.%) CoCrFeMnNi HEA with a complex heterogeneous microstructure, which shows more than two times higher than those compared to CoCrFeMnNi HEA under the identical process condition. It is achieved by the simultaneous operation of various strengthening mechanisms from the complex heterogeneous microstructure. Although it still has not solved the problem of ductility reduction, as the strength increases because the microstructure optimization is not yet complete, it is expected that precise control of the unique complex heterogeneous structure in nitrogen-doped CoCrFeMnNi HEA can open a new era in overcoming the strength–ductility trade-off, one of the oldest dilemmas of structural materials.