Herein, the strain‐rate sensitive deformation behavior of a sintered Al‐ and Mo‐modified CrFeCoNi high‐entropy alloy (HEA) is focused. The sintered microstructure is investigated using scanning electron microscopy (SEM), electron backscatter diffraction (EBSD), energy‐dispersive X‐ray spectroscopy (EDS), and X‐ray diffraction. It was found that after sintering, the microstructure is of very low porosity (<1%) and consists of an ultrafine Mo‐ and Cr‐rich σ phase embedded in a fine‐grained face‐centered cubic (FCC) matrix. Electron microscopy reveals another secondary phase in which Al and Ni are concentrated. For a detailed discussion of the deformation behavior under tension and compression, tensile and compression tests were conducted at strain rates of 10−3, 10, and 102 s−1. Strain‐rate sensitive deformation behavior in terms of strength is observed. The strain hardening rates show no significant strain rate sensitivity (SRS) up to strain rates of 10 s−1. However, at higher strain rates and under compressive loading, a distinctly increased strain hardening rate is found. Tension/compression asymmetry is determined since the SRS value m is twice as high under compression than under tension.