In this study, we report the microstructure and characterization of Ta₂₀Nb₂₀V₂₀W₂₀Ti₂₀ high-entropy alloy powders and sintered samples. The effects of milling time on the microstructure and mechanical properties were investigated in detail. Microstructure and structural characterization were performed by scanning electron microscopy and X-ray diffraction. The mechanical properties of the sintered samples were analyzed through a compressive test at room temperature with a strain rate of 1 × 10⁻⁴ s⁻¹. The microstructure of sintered Ta₂₀Nb₂₀V₂₀W₂₀Ti₂₀ high-entropy alloy is composed of a BCC phase and a TiO phase. A better combination of compressive strength and strain was achieved by using prealloyed Ta₂₀Nb₂₀V₂₀W₂₀Ti₂₀ powder with low oxygen content. The results suggest that the oxide formed during the sintering process affects the mechanical properties of Ta₂₀Nb₂₀V₂₀W₂₀Ti₂₀ high-entropy alloys, which are related to the interfacial stability between the BCC matrix and TiO phase.