In the last decade, the diversity of high-entropy materials (HEMs) has increased sharply, including due to the expansion of research into the field of amorphous, nano- and heterostructures. Interest in nanoscale HEMs is primarily associated with their potential application in various fields, such as renewable and green energy, catalysis, hydrogen storage, surface protection and others. The development of nanotechnology has made it possible to develop an innovative design of nanoscale HEMs with fundamentally new structures with unique physical and chemical properties. Problems of controlled synthesis with precisely specified parameters of chemical composition, microstructure and morphology are solved. At the same time, traditional technologies such as fast pyrolysis, mechanical alloying, magnetron sputtering, electrochemical synthesis, etc. are being modernized. Along with this, innovative synthesis technologies have appeared, such as carbothermic shock, the method of controlled hydrogen spillover. The review discusses various methods for the synthesis of nanoscale HEMs that have been developed in the last few 6–7 years for various applications. Some of them are modernization of traditional methods for producing HEM or nano-sized materials, while another group of techniques represents innovative solutions stimulated and inspired by the HEM phenomenon.