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.