Ta-W-Hf dense alloy material with continuous cellular strengthening structure was produced by powder metallurgy (PM) method. The plastic deformation characteristic of the high-strength material was researched by compression test to find out the possibility of further deformation process. The results indicate that the compression deformation characteristics of Ta-W-Hf alloy with continuous cellular strengthening structure were similar to that of the traditional material. Both of them can be subjected to cold compressed deformation with larger than 50% deformation amount but without macroscopical crack. The hardness of the sample was increased with deformation amount increasing. But the hardness increment of the sample annealed at high temperature was much larger than that of the HIPed sample. So the sample annealed at high temperature has much larger capacity of deformation strengthening.