Magnetic high-entropy alloy (HEA) has certain application prospects in the fields of energy conversion, hysteresis motor, electromagnetic control mechanism and others. In this study, AlCoCrCuFeNi HEA is prepared by selective laser melting (SLM) with different process parameters, and the phase composition, microstructure, magnetic properties and micromechanical behavior are studied systematically. The results show that the SLMed alloy mainly consists of a BCC matrix phase with a small quantity of approximately spherical FCC precipitated nanophase. The nanohardness decreases with the increase of laser power and fluctuates in a certain range with the change of scanning speed, but the whole sample shows excellent micromechanical properties. Besides, it is found that the room-temperature nanoindentation creep deformation mechanism of AlCoCrCuFeNi HEAs is mainly controlled by dislocation motion, which is different from the results given by the traditional classical creep theory. Both of SLMed alloys exhibit typical semi-hard magnetic properties. The saturation magnetization is affected slightly by the SLM process parameters and remains at about 43 A·m²/kg because all samples have a similar quantity of ferromagnetic elements (Fe, Co and Ni). However, the coercivity increases from 1.72 to 2.71 kA/m with the increase of laser power (P), and decreases from 2.37 to 1.98 kA/m with the increase of scanning speed (v), which can be attributed to the different effects of porosity and internal stress on the pinning of domain walls under different process parameters (P and v). This work provides a theoretical basis and experimental direction for further studying the optimization of comprehensive magnetic properties and the room temperature creep mechanism of SLMed high-entropy alloy.