To achieve higher performance of aluminum matrix composites (AMCs), high-entropy alloy particles (HEA_p)-reinforced AMCs sheets were processed via asymmetric rolling (AR, 298 K) and asymmetric cryorolling (ACR, 77 K) methods. The mechanical properties and microstructure of the HEA_p/AMCs were analyzed by tensile tests, scanning electron microscopy (SEM), and transmission electron microscopy (TEM). The results suggest that ACR improved the mechanical properties of HEA_p/AMCs to a higher degree than AR. The ultimate tensile strength (UTS) of ACR 3 wt.% HEA_p/AMCs reached 253 MPa, which was 13.5% higher than that achieved with AR. ACR resulted in fewer microvoids, finer grain sizes, and higher dislocation density in HEA_p/AMC sheets compared to AR. Such a reduction of defects during ACR can be attributed to the volume shrinkage effect of the HEA_p/AMCs in the cryogenic environment.