High-entropy FeCoCrNiMn (C1) and FeCoCrNiMn10Al10 (C2) alloys (HEAs) were mechanically alloyed for 24 h and heated to 900 °C (C1_900 °C and C2_900 °C). The powders were also compacted into pellets (C1_pellet and C2_pellet) and sintered at 500 °C for 1 h. Crystal structure, microstructure, magnetic, and mechanical properties were investigated by X-ray diffraction, scanning electron microscopy, vibrating sample magnetometry, and microindentation. During the milling process, a mixture of body-centered-cubic (BCC) and face-centered-cubic (FCC) phases with a crystallite size in the range of 9–13 nm was formed in the C1 HEA alloy. The dual FCC + BCC solid solutions remain for the C1_pellet and transform to a single FCC for the C1_900 °C powders. Al addition stabilizes the BCC structure in the FeCoCrNiMn10Al10 HEA alloy, as revealed by the structural refinement. The structure exhibits a mixture of BCC + FCC solid solutions for the C2 powders and BCC + FCC + CrCo sigma phase for the C2_pellet and C2_900 °C powders. The crystallite sizes are in the range of 6-93 nm for all the samples. The saturation magnetization (Ms), coercivity (Hc), and squareness ratio (Mr/Ms) are estimated to be 24.2 emu/g, 153.62 Oe, and 0.165, respectively, for C1 and 28.45 emu/g, 188.48 Oe, and 0.172 for C2. The C1_900 °C and C2_900 °C powders exhibit, respectively, paramagnetic and soft magnetic behaviors and an exchange bias at room temperature. The C1_pellet and C2_pellet HEAs show high hardness values of 584.85 Hv and 522.52 Hv, respectively.