A novel metal matrix composite based on the NbMoCrTiAl high entropy alloy (HEA) was designed by the in-situ formation method. The microstructure, phase evolution, and compression mechanical properties at room temperature of the composite are investigated in detail. The results confirmed that the composite was primarily composed of body-centered cubic solid solution with a small amount of titanium carbides and alumina. With the presence of approximately 7.0 vol. % Al2O3 and 32.2 vol. % TiC reinforced particles, the compressive fracture strength of the composite (1542 MPa) was increased by approximately 50% compared with that of the as-cast NbMoCrTiAl HEA. In consideration of the superior oxidation resistance, the P/M NbMoCrTiAl high entropy alloy composite could be considered as a promising high temperature structural material.