High strength and large ductility, leading to a high material toughness (area under the stress‐strain curve), are desirable for alloys used in cryogenic applications. Assisted by domain‐knowledge‐informed machine learning, here a complex concentrated Fe35Co29Ni24Al10Ta2 alloy is designed, which uses L12 coherent nanoprecipitates in a high volume fraction (≈65 ± 3 vol.%) in a face‐centered‐cubic (FCC) solid solution matrix that undergoes FCC‐to‐body‐centered‐cubic (BCC) phase transformation upon tensile straining. Unlike FCC‐to‐BCT phase transformation involving brittle carbon‐enriched martensite, the BCC martensite in this alloy does not cause brittleness at 77 K. The Fe35Co29Ni24Al10Ta2 multi‐principal element alloy achieves a high yield strength ≈1.4 GPa, a high work hardening rate >4 GPa, an ultimate tensile strength ≈2.25 GPa, and a large uniform elongation ≈45%, leading to record‐high material toughness compared with previous cryogenic alloys such as 316L series stainless steels and recent high‐entropy alloys. The nanoprecipitates with nanoscale spacing (≈7.5 nm), apart from serving as dislocation obstacles for strengthening and dislocation sources for sustainable ductility, also undergo deformation twinning. Taken together, these mechanisms are found to be highly effective in strengthening and strain hardening upon tensile straining at liquid nitrogen temperature. These findings demonstrate how to effectively integrate strengthening mechanisms to synergize superior mechanical properties in special‐purpose alloys.