Lightweight high-entropy alloys (LHEAs) have the potential to replace conventional lightweight materials due to their superior mechanical properties and thermal stability. However, the thermal degradation pattern of LHEAs from phase decomposition to evaporation is not clear. We develop a new Al-based dual phase (FCC + HCP) LHEA—AlTi0.45CuZn, and further investigate its thermal degradation behavior for potential high-temperature structural applications. Using multimodal advanced characterization techniques such as differential scanning calorimetry/thermogravimetric analysis, scanning/transmission electron microscopy, and synchrotron X-ray diffraction/pair distribution function (XRD/PDF), a sequence of thermal degradation events beyond the thermal phase stability limit—between 250 and 360 °C—is observed. These include phase decomposition at ~360 °C, Zn evaporation at ~750 °C, and LHEA melting at 880 °C which results in ~25% cumulative weight loss. The formation of Al-Ti phase off the AlTi0.45CuZn matrix is due to the largest negative mixing enthalpy for Al-Ti than other binary pairs. Similarly, Zn evaporation from AlTi0.45CuZn LHEA is due to its faster evaporation rate than other constituent elements. The high-resolution synchrotron XRD and PDF results support the aforementioned observations; in addition, they reveal local atomic arrangements, local strain, and sluggish grain growth in the LHEA. Among other LHEAs of close density range (5.55≤ρ≤5.85 g/cc), the investigated LHEA exhibits outstanding nano-indentation hardness values due to the coupled grain size effect and HCP phase strengthening of the FCC matrix. As the search for LHEAs for lightweight applications grows, this study shows the potential use of AlTi0.45CuZn LHEA for structural applications even at elevated temperatures.