Abstract: The in-situ Al₂O₃ nanoparticles reinforced ultrafine-grained CoCrFeNiAl_0.3 high entropy alloy was produced by the powder metallurgy process of high energy ball milling+hot pressing and hot extrusion. The effects of in situ Al₂O₃ nanoparticles on the improving mechanical properties and thermal stability of CoCrFeNiAl_0.3 high entropy alloy were studied by X-ray diffraction, electron backscatter diffraction, transmission electron microscopy and tensile test. The results show that the in-situ Al₂O₃ nanoparticles are formed in the matrix after ball milling, hot pressing and hot extrusion. The yield strength,ultimate tensile strength and elongation to fracture of the alloy are 1010 MPa, 1130 MPa and 18.8% under the strengthening effects of grain boundaries and Orowan mechanism of nanoparticles. Al₂O₃ nanoparticles can also exert a Zener pinning effect on grain boundaries, resulting in a good thermal stability of microstructure.