A high entropy bulk metallic glass (HE-BMG) Cu₂₉Zr₃₂Ti₁₅Al₅Ni₁₉ was investigated by nanoindentation in detail with load-controlled, continuous stiffness measurement (CSM) and cyclic loading mode, respectively. Pop-in occurs in this alloy during nanoindentation. Applied load have more influences on the pop-in events than loading rate does. When the applied load is larger than 40mN, obvious pop-in events can be observed in the loading curves even at high up to 5mN/s loading rate. Indentation size effect exists in this alloy, confirmed by the hardness decreasing with the increasing indentation load and a Meyer’s index n less than 2. The fraction of energy dissipated during indentation (E_d) changes within the range of 54%-60%. Cyclic loading tests reveal obvious hardening effect.