The　refractory　high-entropy　alloy　(HEA)　has　excellent　heat　tolerance　and　high　strength-to-weight　ratio.　In　this　study,　the　thermal-mechanical　behavior　was　examined　with　the　selective　laser　melting　(SLM)　process　to　fabricate　a　WTaMoNb　refractory　HEA.　The　corresponding　experiment　was　conducted　to　investigate　the　formation　of　HEA　parts.　A　heat　transfer　model　and　a　stress　and　strain　model　of　the　SLM　process　were　built.　The　finite　difference　(FD)　coupled　with　the　finite　element　(FE)　approach　was　utilized　to　simulate　the　3D　temperature　distribution　and　thermal　stress,　during　a　continuous　SLM　process.　The　HEA　samples　with　several　layers　could　be　deposited　at　a　power　p　=　400　W　and　a　scanning　velocity　v　=　250　mm　s(-1).　Warping　and　cracking　deformation　occurred　over　12　layers　due　to　thermal　stress.　The　thermal-mechanical　analysis　through　simulation　demonstrated　that　the　uneven　temperature　distribution　in　the　entire　part　caused　warping　and　cracking　defects.　Subsequently,　the　process　was　improved　based　on　the　thermal-mechanical　analysis　and　simulated　trials.　The　experiment　with　the　improved　process　was　conducted　and　verified　to　be　effective　for　the　production　of　alloys　of　unlimited　layer　numbers　without　cracking　defects.　The　thermal　and　mechanical　models　coupled　with　the　FD-FE　method　could　be　successfully　utilized　to　simulate　and　improve　the　entire　SLM　process.