In this work, Cu-diamond/Cu-diamond-Cu2NiAlAgZn bi-layer coatings were prepared via mechanical alloying on copper substrate, in which Cu-diamond was the inner layer and Cu-diamond-Cu2NiAlAgZn was the outer layer. The results revealed that the quinary alloy Cu2NiAlAgZn HEAs has simple FCC solid solution structure and the interface of bi-layer coating is identifiable. The inner gray area consisted of a Cu-diamond composite, while the outer gray area was a Cu2NiAlAgZn HEAs reinforced Cu matrix composite. However, there were some defects in the microstructure and the compactness was not satisfactory. Therefore, recrystallization annealing treatment was performed on the bi-layer coatings. The microhardness distribution from the substrate to the coating showed the characteristics of ‘increase-drop-increase’ before and after heat treatment. Although the microhardness slightly decreased, heat treatment resulted in a denser coating and eliminated defects. Moreover, the thermal and electrical conductivity of the sample that have undergone heat treatment significantly increased.