CoCrFeNiMn high-entropy alloy (HEA) sheets were processed by 223 K cryorolling, cold rolling, and subsequent annealing. The mechanical properties and microstructures of rolled and annealed HEA sheets were analyzed. The cryorolled samples exhibited increased strength and ductility compared to cold-rolled samples. After cryorolling, the yield stress of the HEA increased to 1259 MPa from 161 MPa in its as-cast state, and it is 1082 MPa for cold-rolled HEA. After annealing, cryorolled samples also retained greater strength and ductility compared to cold-rolled samples. The secondary twins, nano twins with increased proportions and smaller spacing contributed to the increased strength and ductility of cryorolled HEA. Continuous recrystallization occurred in cryorolled samples via subgrain migration during subsequent annealing, whereas discontinuous recrystallization occurred in cold-rolled samples via grain boundary arched nucleation. Finally, we focused on the discussion of the microstructure evolution mechanism during annealing.