In recent years, high-entropy alloys (HEAs) have attracted considerable attention in materials engineering due to their unique phase stability and mechanical properties compared to conventional alloys. Since the inception of HEAs, CoCrFeMnNi alloys have been widely investigated due to their outstanding strength and fracture toughness at cryogenic temperatures. However, their lower yield strength at room temperature limits their structural applications. The mechanical properties of HEAs are greatly influenced by their processing methods and microstructural features. Unlike traditional melting techniques, powder metallurgy (PM) provides a unique opportunity to produce HEAs with nanocrystalline structures and uniform compositions. The current review explores recent advances in optimizing the microstructural characteristics in CoCrFeMnNi HEAs by using PM techniques to improve mechanical performance. The most promising strategies include grain refinement, dispersion strengthening, and the development of heterogeneous microstructures (e.g., harmonic, bimodal, and multi-metal lamellar structures). Thermomechanical treatments along with additive manufacturing techniques are also summarized. Additionally, the review addresses current challenges and suggests future research directions for designing advanced HEAs through PM techniques.