The effect of moderate cryo-rolling (∼65 % reduction) and annealing on microstructure and mechanical properties of a cobalt-free (FCC + B2) AlCrFe2Ni2 high entropy alloy (HEA) was investigated. The cryo-rolled HEA showed a nanocrystalline structure with profuse nano-twins and stacking faults. The lamellar structure gradually transformed into a complete microduplex structure with increasing annealing temperature. The remarkably heterogeneous microstructure at the intermediate annealing temperature consisted of a mix of lamellar and microduplex domains and showed strength-ductility synergy superior to other cobalt-free HEAs. The present results established the efficacy of moderate cryo-rolling in tailoring heterogeneous microstructure and tensile properties of HEAs. © 2022 Elsevier B.V.