A novel high entropy alloy (HEA) matrix self-lubricating composite was prepared by spark plasma sintering. In this composite, the CoCrFeNi HEA was selected as the matrix, Ag and BaF₂/CaF₂ eutectic were used as solid lubricants. The hardness, yield strength, compressive strength, and fracture toughness of the composite were 151 HV, 468 MPa, 787 MPa, and 18.3 MPa m^0.5, respectively. The good mechanical properties of the composite were mainly derived from the CoCrFeNi HEA matrix. The friction coefficients and the wear rates of the composite from room temperature (RT) to 800 ℃ were below 0.26 and 10^-5 mm³/N.m, respectively. The tribological properties of the composite were superior than those of the CoCrFeNi HEA and conventional high temperature self-lubricating materials. Ag played a key role in reducing the friction coefficients of the composite at temperatures from RT to about 400 ℃. The good lubricity of the composite from 400 to 800 ℃ was mainly attributed to the combined lubricating effect of Ag, BaF₂/CaF₂ eutectic and various metal oxides that formed on the composite surface at high temperatures. The large work-hardening capacity of the HEA matrix was very crucial for improving the wear resistance of the composite at temperatures from RT to 800 ℃. Due to the combination of the CoCrFeNi HEA matrix and the solid lubricants, the HEA matrix self-lubricating composite simultaneously possessed good mechanical properties and excellent tribological properties over a wide range of temperatures.