The strength-ductility trade-off is a common dilemma in the field of high entropy alloys (HEAs). In this study, 0.6 vol% Xp/Al0.25CoCrFeNi (X=Al2O3, TiB2, ZrB2) composites were fabricated via vacuum arc melting, followed by cold rolling and annealing. The thermal stability of three types of reinforcement particles and their effects on the microstructures and mechanical properties of the composites were studied in detail. The three types of particles exhibit high thermal stability during the melting and processing process, with the Al2O3 particle being the most stable. The Al2O3 particles possess a size below 100 nm in average and are uniformly distributed. With normalized grain size, the Al2O3p/Al0.25CoCrFeNi composite demonstrates the most effective particulate strengthening effect. The yield strength, ultimate strength and elongation of 0.6 vol% Al2O3p/Al0.25CoCrFeNi composite are 317 MPa, 610 MPa and 57.0 %, respectively, increased by 8.2 %, 2.2 % and 2.2 % compared with the Al0.25CoCrFeNi high entropy alloy. The 2nd twin only occurs in Al2O3p/Al0.25CoCrFeNi composite during the tensile process, which enhances the twinning density. The synchronous increase in strength and ductility of the Al2O3p/Al0.25CoCrFeNi composite could be ascribed to the generation of higher density deformation twins and stacking faults, offering a potential solution to overcoming the trade-off between strength and ductility.