The microstructural evolution of a HfNbTaTiZr high-entropy alloy subjected to cold rolling and subsequent annealing was investigated. The dislocation activity dominates the deformation process. The microstuctural evolution of the alloy during cold rolling can be described as follows: (i) formation of dislocation tangles, (ii) formation of microbands, (iii) formation of thin laths and microshear bands containing thin laths, (iv) the transverse breakdown of the lath to elongated segment, and (v) formation of fine grains. During annealing at 800 and 1000 °C, decomposition of the metastable high-temperature body-centered cubic phase proceeded through a phase separation reaction. Annealing at 800 °C resulted in a nonrecrystallized microstructure with abundant second-phase particles distributed randomly. The second-phase particles with an average size of ∼145 nm were enriched in Ta and Nb, while the chemical composition of the matrix was close to the average composition of the alloy. Meanwhile, an unknown phase slightly enriched in Hf, Zr, and Ti was detected in the interfacial region between the second-phase particles.