Over the past decade, high-entropy alloys (HEAs) have experienced rapid development, but the efforts mainly focused on the narrow system of single-phase HEAs. Most developed single-phase HEAs generally possess either high ductility or high strength, whilst the most balanced of both appears to be a tough challenge. As a consequence, for real engineering applications, HEA composites with multi-phase microstructures recently have drawn the extensive attention for breaking through this challenge. In this study, the multi-phase microstructures, e.g., decomposed structures, coherent/incoherent precipitates, foreign/HEA reinforcements, eutectic microstructure, thin films/coatings, etc., which appeared in recently-studied HEA composites are summarized and discussed. Accordingly, the mechanical behaviors of the HEA composites are reviewed. The comparisons of mechanical properties between some single-phase HEAs and HEA composites in similar alloy systems are analyzed. Guided by this study, the future development and potential application of HEA composites are proposed.