This work aims to study the influence of Al2O3 in CrFeCuMnNi high-entropy alloy matrix composites (HEMCs) on their microstructure, phase changes, and mechanical and wear performances. CrFeCuMnNi-Al2O3 HEMCs were synthesized via mechanical alloying (MA) followed by hot compaction (550 °C at 550 MPa), medium frequency sintering (1200 °C), and hot forging (1000 °C at 50 MPa). The XRD results demonstrate the formation of both FCC and BCC phases in the synthesized powders, which were transformed into major stable FCC and minor ordered B2-BCC phases, as confirmed by HRSEM. The microstructural variation of HRSEM-EBSD, in terms of the coloured grain map (inverse pole figures), grain size distribution, and misorientation angle, was analysed and reported. The grain size of the matrix decreased with the increase in Al2O3 particles owing to the higher structural refinement by MA and zener pinning of the incorporated Al2O3 particles. The hot-forged CrFeCuMnNi-3 vol.% Al2O3 sample exhibited an ultimate compressive strength of 1.058 GPa, which was 21% higher than that of the unreinforced HEA matrix. Both the mechanical and wear performance of the bulk samples increased with an increase in Al2O3 content due to solid solution formation, high configurational mixing entropy, structural refinement, and the effective dispersion of the incorporated Al2O3 particles. The wear rate and coefficient of friction values decreased with the increase in Al2O3 content, indicating an improvement in wear resistance owing to the lower domination of abrasive and adhesive mechanisms, as evidenced by the SEM worn surface morphology.