Abstract: High-entropy alloys (HEAs), as a novel class of high-performance metallic materials, have demonstrated considerable potential in the fields of damage and penetration mechanics. This study investigates the application of CoCrFeNiCux HEAs as liner materials for explosively formed projectiles (EFPs), with the objective of enhancing EFP formation quality and damage efficacy through structural optimization of the liner. Quasi-static and dynamic tensile tests were conducted to characterize the mechanical properties of the HEAs with different copper contents (x=0 and x=1). The experimental data were used to fit parameters for the Johnson-Cook (J-C) constitutive model. The results indicate that both HEA compositions exhibit outstanding plasticity, ductility, and positive strain rate sensitivity, with dynamic yield strength increasing significantly under high strain-rate loading. Numerical simulations were performed using the nonlinear finite element software AUTODYN to compare the EFP formation processes between conventional copper liners and the proposed HEA liners. The simulations revealed that the superior strength of the HEAs impeded the complete closure of the projectile tail when using a conventional uniform wall thickness liner geometry. To address this issue, a uniform variable wall thickness design was implemented for the HEA liners. This optimization successfully improved the formed EFPs, resulting in length-to-diameter ratios of 2.0 for x=0 and 2.5 for x=1, with velocities reaching 2260 m/s and 2357 m/s, respectively. The penetration performance of the optimized HEA EFPs was validated against two target types. The projectiles achieved penetration depths of 37.8 mm (x=0) and 41.5 mm (x=1) into 100-mm-thick 4340 steel targets, and 287.6 mm and 303.7 mm into 1000-mm-thick C35 concrete targets. The crater diameters exceeded 260% of the charge caliber, confirming excellent penetration and damage capabilities. This work demonstrates that structural optimization of CoCrFeNiCux HEA liners significantly enhances EFP formation quality and penetration performance, providing a theoretical foundation and a novel strategy for the design of high-efficiency damage warheads.