Nanoparticles (NPs) of high entropy materials (HEMs) have attracted significant attention due to their versatility and wide range of applications. HEM NPs can be synthesized by fragmenting bulk HEMs or disintegrating and recrystallizing them. Alternatively, directly producing HEMs in NP form from atomic/ionic/molecular precursors presents a significant challenge. A widely adopted strategy involves thermodynamically driving HEM NP formation by leveraging the entropic contribution but incorporating strategies to limit NP growth at the elevated temperatures used for maximizing entropy. A second approach is to kinetically drive HEM NP formation by promoting rapid reactions of homogeneous reactant mixtures or using highly diluted precursor dissolutions. Additionally, experimental evidence suggests that enthalpy plays a significant role in driving HEM NP formation processes at moderate temperatures, with the high energy cost of generating additional surfaces and interfaces at the nanoscale stabilizing the HEM phase. This review critically assesses the various synthesis strategies developed for HEM NP preparation, highlighting key illustrative examples and offering insights into the underlying formation mechanisms. Such insights are critical for fine‐tuning experimental conditions to achieve specific outcomes, ultimately enabling the effective synthesis of optimized generations of these advanced materials for both current and emerging applications across various scientific and technological fields.