The texture and deformation microstructures of Ta–2.5W alloy were investigated during cold rolling process. The microhardness can reach 280 HV when the reduction was 40%. Meanwhile, the mature body-centered cubic rolling texture was developed. The dislocation configuration appeared in a sequence from long straight dislocations and dislocation loops, followed by dislocation tangles and finally to cells boundaries and long, continuous planar boundaries. Microbands did not appear until the reduction reached 20%. The density of microbands increased with increasing reduction. The dislocations within the boundaries of microbands tended to rearrange themselves with increasing strain in a sequence from tangled dislocations, followed by parallel dislocations and finally into dislocation nets. Meanwhile, the boundaries had at least one primary set of parallel dislocations lying along the longitudinal direction of the boundaries during the whole cold-rolled process. The formation of microbands based on the double cross-slip of long straight screw dislocations was confirmed.