In the past three decades, nanostructured (NS) and ultrafine-microstructure (UFM) materials have received extensive attention due to their excellent mechanical properties such as high strength. However, preparing low-cost and bulk NS and UFM materials remains to be a challenge, which limits their industrial applications. Here, we report a new strategy to prepare bulk UFM alloys via the direct solidification of high-entropy alloys (HEAs). As a proof of concept, we designed AlCoCr_xFeNi (1.8 ≤ x ≤ 2.0) HEAs and achieved a complete UFM in bulk materials. The compositional requirements for obtaining the formation of the UFM are highly demanding, necessitating the coupling of near eutectic alloy composition and the high temperature decomposition of supersaturated primary and secondary phases. Our strategy provides a low-cost and highly efficient method to prepare bulk UFM alloys, with great potential to accelerate the engineering application of these materials.