High entropy alloys (HEAs) are usually fabricated using arc melting which has the disadvantages of diseconomy, and the limitations in the shape and size of final products. However, recently, quite a large amount of research has been carried out to find the fabrication techniques for HEAs with better properties such as mechanical alloying and rapid solidification. In this paper, an AlCoCrFeNi high entropy alloy was successfully fabricated by the shock consolidation technique. In this method, the starting powders were mixed by mechanical alloying and then the shock wave was imposed to the compacted powders by explosion. High levels of residual stress existed in samples fabricated by the shock consolidation method. Due to this, after fabrication of the sample, heat treatment was used to eliminate the residual stress and improve the mechanical properties. The microstructure of the samples before and after heat treatment were examined by XRD, SEM and electron backscatter diffraction (EBSD). The shock consolidated sample and sample with heat treatment both showed the nano-structure. After heat treatment the hardness of the sample was decreased from 715 HV to the 624 HV, however the failure strength increased, and as expected the ductility of the sample was improved after heat treatment.