The use of high entropy alloy as a binder for tungsten heavy alloys offers potential advantages. The 95W-5CoCrFeMnNi alloys (95W-HEAs) were prepared via powder metallurgy at sintering temperatures of 1400−1550 °C. The microstructure analysis revealed that the tungsten phase in 95W-HEAs exhibited a nearly spherical morphology in the HEA binder matrix and the formation of a Cr−Mn oxide mixed phase was observed. The sintering temperature exerted a significant influence on the relative density, grain size, W−W contiguity, and mechanical properties of the alloys. The optimal performance was achieved when sintering at 1450 °C, yielding a relative density of 96.61%, a W−W contiguity of 0.528, an average grain size of 18.97 µm, a compressive strength of 2234.82 MPa, and a hardness of HV 400.6. The activation energy for the diffusion of tungsten in the liquid phase formed by HEA binder was calculated to be 354.514 kJ/mol, highlighting its role in controlling grain growth.