Almost fully dense AlCrFeNiV HEA consisting of face-centred-cubic (FCC) solid solution and L12 nano phase was prepared from gas-atomized alloy powder with optimized selective laser melting (SLM) processing parameters. Microstructure characterization reveals the presence of hierarchical structures including columnar grains, sub-grains, L12 nano phase and dislocations in SLMed HEA. Unique columnar grains ranging from several tens of microns up to 200 mm grow along the direction of the temperature gradient. High cooling speed and non-equilibrium solidification during SLM process induced the formation of sub-grains in every columnar grain, accompanied with the heterogeneous distribution of dislocations and L12 nano phase. The SLMed AlCrFeNiV HEA exhibited an outstanding combination of high strength (ultimate tensile strength ~1057.47 MPa) and excellent ductility (plastic strain ~30.3%). The characteristic hierarchically heterogeneous structure contributes to the increase of strength without losing ductility. The sub-grains contribute significantly to the enhanced strength through dislocation hardening. The excellent ductility is correlated with the progressive work-hardening mechanism regulated by the heterogeneous distribution dislocation and L12 nano phase within sub-grains.