In this study, a microstructure control strategy by combining powder high-energy ball milling, spark  plasma sintering and hot extrusion was proposed. The influence of preparation process parameters on the evolution of grain size, second phase particles and twins was investigated. A CoCrFeNiMnTi_0.2 high entropy alloy with multi-scale heterogeneous microstructure containing coarse grains, fine grains and nanoparticles, and a CoCrFeNiMnTi_0.2 high entropy alloy consisting of ultrafine grains, nanoparticles and nano-twins were prepared. The tensile mechanical properties showed that the yield strength and elongation to fracture of the high entropy alloys were up to 1298 MPa and 13%, and 1507 MPa and 7%, respectively, achieving a good trade-off between strength and plasticity. Lastly, based on the revision of the Holpage coefficient, a strengthening model for nanoparticle reinforced ultrafine grain CoCrFeNi-based high entropy alloy was established. A new coupling mechanism between nanoparticles and heterogeneous structure, as well as a synergetic mechanism of ultrafine grains, nanoparticles and nano-twins were discussed. It was also found that nano-twins could increase the flow stress of high entropy alloy, resulting in multi-level deformation behavior by inducing nucleation of new deformation twins.