Thermomechanical processing (TMP) is a significant route to tune the microstructure and mechanical properties of high‐entropy alloy (HEA), which employs plastic deformation and heat treatment. Herein, bulk CoCrFeNiAl0.4 high‐entropy alloy has been fabricated by powder plasma arc additive manufacturing (PPA‐AM), which was subjected to TMP including different extents of plastic deformations and followed by annealing. The evolution of microstructure and mechanical properties of the HEAs during TMP is studied, and the contribution of strengthening mechanisms to the improvement of mechanical properties is quantified. By increasing the plastic deformation of TMP, the hardness and yield strength of the alloys increase by 94% and 105%, respectively, and are accompanied by a strain of 29.1%. Based on analysis and calculations, it is found that grain boundary strengthening significantly contributes to the improved performance of bulk CoCrFeNiAl0.4 HEA fabricated by PPA‐AM + TMP. PPA‐AM + TMP synthesis is an innovative way to prepare bulk HEAs with a refined microstructure and better mechanical properties.