Triply periodic minimal surfaces (TPMSs) are extensively used as effective tools for the microarchitectural designing of cellular structures. CoCrNi medium-entropy alloy, known for its high strength and high ductility, is an ideal candidate for fabricating TPMS-based structures. However, few studies have focused on this topic. This study investigated the compressive mechanical and energy absorption properties of CoCrNi D-sheet TPMS cellular structures fabricated via selective laser melting (SLM). The surface morphology of the fabricated D-sheet TPMS structure was observed through scanning electron microscopy, and the deformation and failure mechanisms of the structure were analyzed by the quasi-static compression test. The results indicated that the SLM-ed CoCrNi D-sheet TPMS structure exhibited stable collapse mechanisms compared to other metal-based TPMS structures. Meanwhile, the energy absorption characteristics of the modified finite element (FE) model agreed well with the experimental results. Furthermore, the impact of the level constant on the energy absorption performance of the D-sheet TPMS structure was investigated using the FE model. Thus, an optimal D-sheet (OD-sheet) TPMS structure with lower density and higher energy absorption capacity was obtained. Additionally, the Gibson–Ashby prediction model was established to aid in selecting CoCrNi OD-sheet TPMS structures with controlled relative densities for energy absorption applications.