Prussian blue analogues (PBAs) are reported to be efficient sodium storage materials because of the unique advantages of their metal–organic framework structure. However, the issues of low specific capacity and poor reversibility, caused by phase transitions during charge/discharge cycling, have thus far limited the applicability of these materials. Herein, a new approach is presented to substantially improve the electrochemical properties of PBAs by introducing high entropy into the crystal structure. To achieve this, five different metal species are introduced, sharing the same nitrogen‐coordinated site, thereby increasing the configurational entropy of the system beyond 1.5R. By careful selection of the elements, high‐entropy PBA (HE‐PBA) presents a quasi‐zero‐strain reaction mechanism, resulting in increased cycling stability and rate capability. The key to such improvement lies in the high entropy and associated effects as well as the presence of several active redox centers. The gassing behavior of PBAs is also reported. Evolution of dimeric cyanogen due to oxidation of the cyanide ligands is detected, which can be attributed to the structural degradation of HE‐PBA during battery operation. By optimizing the electrochemical window, a Coulombic efficiency of nearly 100% is retained after cycling for more than 3000 cycles.