A light-weight refractory Al0.1CrNbVMo high entropy alloy (HEA) was fabricated by high energy ball milling and spark plasma sintering (SPS). The alloy had a density of 7.96 g/cm3, which is lower than that of conventional Ni-base superalloys. Optimum milling time was decided by the microstructure analysis of the HEA powders. The microstructure of the bulk alloy consisted of a body-centered cubic (BCC) matrix with a minor amount of alumina inclusions. The Al0.1CrNbVMo HEA exhibited outstanding compressive mechanical properties of 2863 MPa at room temperature, and 1405 MPa at 1000 °C, respectively. The specific yield strength of 176 MPa cm3/g at 1000 °C, is much higher than that of the other refractory HEAs. The Hall-Petch coefficient of the Al0.1CrNbVMo alloy was derived to 811 MPa μm0.5.