In this paper, a novel Co-free low-cost Al0.4Ni0.4CrFe high entropy alloy (HEA) with hierarchical coherent precipitates was designed and fabricated by arc-melting. The as-cast Al0.4Ni0.4CrFe HEA is composed of Fe-Cr-enriched disordered body-centered cubic (BCC) matrix and even-distributed hierarchical coherent ordered BCC (B2) precipitates, i.e., primary submicron precipitates (∼194 nm) and secondary nanoprecipitates (∼14 nm). The as-cast Al0.4Ni0.4CrFe HEA shows outstanding compressive properties, i.e., a compressive yield strength of ∼1513 MPa and a compressive strength of ∼3085 MPa, which are superior to most previously reported CoNiCrFe-based HEAs containing costly Co elements. The extraordinary mechanical properties are ascribed to the hierarchical coherent precipitates-induced strengthening. These results showed that introducing hierarchical precipitates into Co-free HEAs through compositional design is an effective strategy to achieve superior combinations of high strength and low-cost, which is beneficial for the practical engineering applications of HEAs.