Refractory high entropy alloys (RHEAs) are considered promising materials for high-temperature applications due to their thermal stability and high-temperature mechanical properties. However, most RHEAs have high density (>10 g/cm3) and exhibit limited ductility at low temperatures and softening at high temperatures. In this study, we show that oxygen-doping can be used as a new alloy design strategy for tailoring the mechanical behavior of the TiZrHfNbTa alloy: a novel low-density (7.98 g/cm3) ductile RHEA. Even though the material is a single-phase BCC with some oxides at room temperature, secondary BCC and HCP nano-lamellar structures start to form above 600 °C in addition to the nano-twins which are shown to be stable up to 1000 °C. This alloy shows superior strength and compressive ductility due to the nanoengineered microstructure. The present study sheds light on tailoring the strength-ductility balance in RHEAs by controlling the microstructure of novel RHEAs at the nanoscale via oxygen-doping.