In the present work, novel Al2O3 particles were used to reinforce heterogeneous CoCrFeMnNi high-entropy alloy (HEA) matrix composites with nano- (5.0 wt.%) and nano- + micro- (5.0 wt.% + 10.0 wt.%) specimens. Al2O3 particles were fabricated via gas atomization and spark plasma sintering. The microstructure evolution and properties, i.e., density, hardness, and room temperature compression, were systematically investigated. The results indicate that the concentration of the Cr element in the pure CoCrFeMnNi HEA and the HEA matrix composite can be effectively reduced by using a gas-atomized HEA powder as the matrix. The formation of an impurity phase can also be inhibited, while the distribution uniformity of matrix elements can be improved. The composites prepared via gas-atomized powders formed a network microstructure composed of continuous Al2O3-rich regions and isolated Al2O3-poor regions, exhibiting good plasticity and improved density. The relative densities of the pure HEA, nano- (5.0 wt.%), and nano- + micro- (5.0 wt.% + 10.0 wt.%) composites were 98.9%, 97%, and 94.1%, respectively. The results demonstrate a significant improvement in the relative densities compared to the values (97.2%, 95.7%, and 93.8%) of the composites prepared via mechanical alloying. In addition, compared to the compressive fracture strains of nano- (5.0 wt.%) and nano- + micro- (5.0 wt.% + 10.0 wt.%) composites based on the mechanically alloyed HEA powder, the values of the nano- (5.0 wt.%) and nano- + micro- (5.0 wt.% + 10.0 wt.%) specimens prepared via gas atomization and spark plasma sintering increased by 80% and 67%, respectively.