Industry applications of current high-entropy alloys (HEAs) are limited by their prohibitive costs. Here, we present a cost-effective and facile approach to producing nanostructured HEAs with lower cost and exceptional mechanical properties. In the present work, the key was to design a novel cost-effective Fe40Ni25Cr25Mo5Al5 high-entropy alloy with an ultrafine-grained (UFG) microstructure through cyclic closed-die forging (CCDF) at room temperature for up to six passes. The as-homogenized alloy exhibited a dual-phase structure, with minor [CrMoFe]-rich dendrites dispersed in a nearly homogenous face-centered cubic (FCC) matrix. Increasing CCDF passes resulted in achieving a more homogeneous nanograin, accumulation of dislocations, fragmentation of [CrMoFe]-rich dendrites, and efficient distribution within the matrix, which provided ideal conditions for the development of a nanostructured Fe40Ni25Cr25Mo5Al5 alloy with superior mechanical properties (hardness and wear resistance). The highest microhardness (∼ 843 HV) and the lowest wear rate (∼ (0.9 ± 0.1) × 10–5 mm3.N−1.m−1) were obtained in the Fe40Ni25Cr25Mo5Al5 alloy after six CCDF passes. It was suggested that the Rotated Cube {001}<110> texture component of the CCDF-processed alloy contributed positively to the improvement of wear resistance properties. These findings suggest that CCDF processing has the potential to achieve cost-effective nanostructured high-entropy alloys and implement them in engineering and structural applications.