Entropy stabilized oxides (ESOs) have received considerable attention in recent years due to their unique functional properties. Entropy stabilization of a multi-component system relies on the possibility of altering the phase stability of solid solutions through precise control of configurational entropy. A multi-component ESO system consisting of MgO, NiO, CoO, CuO and ZnO is synthesized to form a nanocrystalline single-phase rocksalt structure using a low-temperature solution combustion synthesis (SCS) route. The phase transformation and stability studies under different heat treatment conditions for these compositions have not been investigated or rather limited. We have recently conducted studies to understand the critical role of local stress fields around the cations on the phase stabilization using molecular dynamics simulation. It was observed that the presence of oxygen vacancies altered the local stresses around Cu2+ ions from tensile to compressive state thereby aiding the possibility for the formation of a single phase. However, the experimental factors controlling the phase segregation and its influence on the material properties were not understood. The current work is therefore aimed at gaining insights on the interplay between heat-treatment, phase segregation and its impact on the thermal and mechanical properties of (MgNiCoCuZn)O ESO. The phase transformation and stability studies of the ESO system using systematic thermal treatments coupled with extensive structural characterization techniques that involve diffraction and spectrochemical techniques revealed the role of Cu2+ ions in the stabilization of a single-phase rocksalt structure. Quenching the sample from high temperatures results in the formation of a single-phase whereas furnace cooling results in the segregation of CuO. The material exemplified a very low thermal conductivity of ~ 2.7 Wm-1K-1 which is similar to that of zirconia. A drastic reduction in the thermal conductivity was observed in comparison to its CuO-free 4-component ESO counterpart resulting from the strong sublattice distortion induced by Cu2+ ions. Lowering of lattice distortion due to the segregation of CuO contributes to the reduction in the coefficient of thermal expansion value from 21 to 14 × 10-6 K-1. The elastic modulus values measured are in accordance with the general trend of rocksalt type divalent binary oxides and a reasonable increase in the elastic modulus value from 132 to 183 GPa was observed in the slow cooled samples. The study helped in resolving the knowledge gaps on the phase stability and the influence of CuO segregation on the thermal and mechanical properties of the ESO system.