The effects of heat treatment on the microstructure and properties of cold-forged two-dimensional (2D) CoNiFe medium entropy alloy (MEA) are determined. Compared to the as-cast specimen with a columnar crystal structure, the cold-forged CoNiFe MEA has a heavily fragmented microstructure with deformation twins. As the annealing temperature is increased, the grain size becomes larger markedly. Annealing at 900 °C yields a fully recrystallized microstructure with a large population of annealing twins and the new orientation exhibits a first-order twin relationship (60° <111> rotation) during recrystallization. Moreover, the CoNiFe HEA annealed at 900 °C possesses excellent ductility (ε = 50%) and work-hardening ability (σUTS-σY = 246 MPa, σUTS/σY = 0.5), which depend on the annealing twins, dislocations, as well as micro-shear bands in the grains. Analysis of the fracture surface indicates that the main failure mechanism is ductile. Meanwhile, no phase separation occurs as the temperature is raised from 0 °C to 1000 °C as shown by the expansion rate versus temperature relationship, indicating that the materials have good stability at high temperature. The thermal expansion coefficient (CTE) of the sample annealed at 1100 °C for 1 h is 12.1 × 10−6 K−1 which is less than that of traditional metals (14.4–16 × 10-6 K−1).