A near-full dense Cu-36.8Fe alloy was manufactured by selective laser melting (SLM). The as-SLMed Cu-Fe alloy exhibits an excellent combination of both high strength and superior ductility. The exceptional mechanical performances are associated with the unique hierarchical microstructures, including molten pools, sub-micron cellular bi-phasic structures and nano-scaled precipitates. The formation of hierarchical microstructures is presumably owing to rapid cooling rate of molten pool, repeat heating during SLM and intrinsically immiscible feature between Cu and Fe. These findings can provide insights for the application of SLM technique to other immiscible alloys and their design with higher mechanical performances.