Mechanical grinding method was employed to prepare FeCoNiSi_xAl_0.4 high entropy alloy powders, which present a simple solid solution structure (FCC and BCC). After annealing at 673 K, a large amount of BCC phase precipitate and a small amount of CoFe₂O₄ phase generate. The change of crystal structure may lead to an increase in M_s (from 100.3 emu g⁻¹ to 124.2 emu g⁻¹) and a decrease in H_c (from 107 Oe to 59.5 Oe for FeCoNiSi_0.3Al_0.4). The silica content has a significant effect on the electromagnetic parameters of the as-milled and as-annealed alloy powders, presenting the trend of first increase and then decrease. And the dielectric constant is obviously improved after annealing (e.g. from 8.48 to 11.21 and from 0.15 to 2.84 for the ε′ and ε′′ of FeCoNiSi_0.3Al_0.4 at 18 GHz, respectively), while the permeability is reduced. Compared with those of the as-milled samples, the μ′ of as-annealed FeCoNiSi_xAl_0.4 (x = 0.1, 0.3, 0.4) remain unchanged or even increase due to the formation of CoFe₂O₄. Meanwhile, the relative content of the precipitated BCC to FCC for FeCoNiSi_0.3Al_0.4 enhance with the annealing temperature increase from 573 K to 773 K, and then reduce. And the ε′ and μ′ at 2 GHz present the same trend as the content ratio (A_BCC/A_FCC), while the ε′′ improve obviously after annealing, corresponding to the elevation of conductivity.