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Abstract Simultaneously enhancing strength and ductility of metals and alloys has been a tremendous challenge. Here, we investigate a CoCuFeNiPd high-entropy alloy (HEA), using a combination of Monte Carlo method, molecular dynamic simulation, and density-functional theory calculation. Our results show that this HEA is energetically favorable to undergo short-range ordering (SRO), and the SRO leads to a pseudo-composite microstructure, which surprisingly enhances both the ultimate strength and ductility. The SRO-induced composite microstructure consists of three categories of clusters: face-center-cubic-preferred (FCCP) clusters, indifferent clusters, and body-center-cubic-preferred (BCCP) clusters, with the indifferent clusters playing the role of the matrix, the FCCP clusters serving as hard fillers to enhance the strength, while the BCCP clusters acting as soft fillers to increase the ductility. Our work highlights the importance of SRO in influencing the mechanical properties of HEAs and presents a fascinating route for designing HEAs to achieve superior mechanical properties.