Anneal hardening has been one of the approaches to improve mechanical properties of solid solution alloys with the face-centered cubic (FCC) structure, whereby a considerable strengthening can be attained by annealing of cold-worked alloys below the recrystallization temperature (T-rx). Microscopically, this hardening effect has been ascribed to several mechanisms, i.e. solute segregation to defects (dislocation and stacking fault) and short-range chemical ordering, etc. However, none of these mechanisms can well explain the anneal hardening recently observed in phase-pure and coarse-grained FCC-structured high-entropy alloys (HEAs). Here we report the observations, using high-resolution electron channeling contrast imaging and transmission electron microscopy, of profuse and stable dislocation substructures in a cold-rolled CoCrFeMnNi HEA subject to an annealing below T-rx. The dislocation substructures are observed to be thermally stable up to T-rx, which could arise from the chemical complexity of the high-entropy system where certain elemental diffusion retardation occurs. The microstructure feature is markedly different from that of conventional dilute solid solution alloys, in which dislocation substructures gradually vanish by recovery during annealing, leading to a strength drop. Furthermore, dilute addition of 2 at.% Al leads to a reduction in both microhardness and yield strength of the cold-rolled and subsequently annealed (<= 500 degrees C) HEA. This Al induced softening effect, could be associated with the anisotropic formation of dislocation substructure, resulting from enhanced dislocation planar slip due to glide plane softening effect. These findings suggest that the strength of HEAs can be tailored through the anneal hardening effect from dislocation substructure strengthening.