Abstract: High-entropy Ti40Zr20Nb20Hf5Ta15 at.% alloy was melted under a high nitrogen pressure (40 bar) using an inductive cold crucible, yielding a nitrogen-saturated alloy. The as-cast microstructure is complex, comprising nitride dendrites enriched in Ti, Zr, and Hf that occupy approximately 57% of the volume. These dendrites are surrounded by an interdendritic body-centered cubic solid solution matrix enriched in Nb and Ta. Additionally, two distinct nitride phases, such as (ZrHf)N and (TiZrHf)N, form needle-like precipitates within the interdendritic regions. The nitrogen-saturated alloy exhibits a compressive strength of 2159 MPa with negligible plastic deformation, and a hardness of 684 ± 6 HV. This strength is significantly higher than that of the precursor alloy, primarily due to the reinforcing effect of the dendritic nitrides and the fine precipitates in the interdendritic matrix. Ab initio density functional theory calculations confirm the stability or metastability of the experimentally identified nitride phases. The overall phase constitution and segregation are governed primarily by strong metal–nitrogen chemical interactions (enthalpy), while configurational entropy mainly contributes to chemical disorder within the individual phases.