Sigma phase is well known for its excellent creep resistance and superb strength; however, its engineering applications are limited due to low temperature brittleness. In this work, we developed a series of dual phase CoCrNiMo_x (x = 0.4, 0.6, 0.7, 0.83 and 1.0) medium entropy alloys (MEAs) containing sigma and face centered cubic (FCC) phases and performed a systematic study of their fracture behavior at room temperature. Our experimental data clearly show that, as the volume fraction of the sigma phase increases from 4% up to 72%, the fracture toughness (K_Ic) of the dual phase MEA reduces from 72 to 8 MPa m^0.5. In the meantime, these dual phase MEAs clearly exhibit a R-curve behavior, i.e. fracture toughness increasing with crack length. Through a quantitative analysis, we demonstrate that the fracture toughness of the sigma phase containing MEAs is derived from a combination of intrinsic (crack tip blunting, crack-tip deflection and crack-tip micro-crack nucleation) and extrinsic toughening mechanisms (distributed micro cracking and crack bridging). In sharp contrast to conventional sigma phase containing alloys, our work indicates that sigma phase induced embrittlement could be effectively mitigated in multi-principal element alloys, thereby opening a new window for designing strong yet tough metallic composites.