Cold rolling with subsequent annealing can be used to produce the recrystallized structure in high entropy alloys (HEAs). The Al 0.25 CoCrFeNi HEAs rolled to different final thickness (230, 400, 540, 800, 1000, 1500 µm) are prepared to investigate their microstructure evolutions and mechanical behaviors after annealing. Only the single face-centered cubic phase was obtained after cold rolling and recrystallization annealing at 1100 • C for 10 h. The average recrystallized grain size in this alloy after annealing ranges from 92 µm to 136 µm. The annealed thin sheets show obviously size effects on the flow stress and formability. The yield strength and tensile strength decrease as t/d (thickness/average grain diameter) ratio decreases until the t/d approaches 2.23. In addition, the stretchability (formability) decreases with the decrease of the t/d ratio especially when the t/d ratio is lower than about 6. According to the present results, yield strength can be expressed as a function of the t/d ratio.