High-entropy alloys are prospective functional and structural materials owing to their excellent electromagnetic and mechanical properties. In this paper, the quenched Cu25Al10Fe20Co20Ni25 alloy foils with the thickness of 50~70 μm are obtained via a single roller experimental apparatus. Furthermore, the microstructure and properties of alloy foils are studied and the rapid solidification joining is conducted by using a micro-type capacitor discharge welding machine. The results show that Cu25Al10Fe20Co20Ni25 high-entropy alloy presents a simple single-phase FCC structure and its as-cast microstructure is coarsening. Rapid solidification can make the grains fine remarkably. The microstructure of joint is characterized by rapid solidification, while the microstructure in nugget is coarse and has clear directivity compared with the ordinary nuggets. The base microstructure adjacent to nugget has no evidence of coarsening and the width of fusing zone is almost tending to 0. Penetrated crack is the main defect during welding of high-entropy alloy, which relates to the microstructural coarsening and directionality resulting from high-entropy effects as well as electrode press.