Wf/Cu82Al10Fe4Ni4 composites were fabricated by the pressure infiltration method. The composites were compressed by means of a split Hopkinson pressure bar (SHPB) with strain rates of 800 and 1600 s−1 at different temperatures. The microstructure of the composites after dynamic compressing was analyzed by transmission electron microscopy (TEM). Observation revealed that there were high-density dislocations, stacking faults, twins, and recrystallization existing in the copper alloy matrix of the composites. High-density dislocations, stacking faults, and twins were generated due to the significant plastic deformation of the copper alloy matrix under dynamic load impact. We also found that the precipitated phase of the matrix played a role in the second phase strengthening; recrystallized microstructures of copper alloy were generated due to dynamic recrystallization of the copper alloy matrix under dynamic compression at high temperatures.