In the present work, several ultrafine-grained W–Cu composites with bi-continuous microstructure have been prepared through combined processes of high-energy ball-milling, liquid-phase sintering and infiltration. The microstructure, relative density, hardness and electrical conductivity of the W–Cu composites with copper content ranging from 20 to 35 wt-% were investigated to determine the optimal composition. Then, the high-temperature characteristics such as thermo-mechanical stability, high-temperature compressive performance and high-temperature wear behaviour of the optimal W–25 wt-%Cu composite were systematically assessed in comparison with those of the micron-sized W–25 wt-%Cu composite. The results showed that the ultrafine-grained W–Cu composite exhibited distinctly superior thermo-mechanical stability, as well as high-temperature compressive and wear-resistant properties, indicating its great potential in enduring repeated contact-loading at high temperature.