High‐entropy alloys (HEAs) owing to their entropy maximized design exhibit simple solid solution structures and possess fascinating properties. In addition to mechanical properties, the oxidation resistance is an important property that is crucial for determining the suitability of high‐temperature operation of the structural members. Among processing routes, mechanical alloying is one of the most widely used techniques primarily due to the generation of nanocrystalline grains and alloying elements with wide melting point differences. Mechanically alloyed HEAs differ from cast alloys in several aspects, including the phases developed, microstructure, oxidation products, and mass gain kinetics. This difference is largely attributed to the presence of numerous grain boundaries in mechanically alloyed HEAs, which serve as significant diffusion paths. This article aims to provide a comprehensive overview of oxidation studies performed in several mechanically alloyed HEAs, detailing their microstructure, oxidation products, and kinetics. It also compares the oxidation behavior of few of these systems with their cast counterparts. The oxidation behavior is further analyzed from both thermodynamic and kinetic perspectives. Finally, the article suggests several future research directions that can further the understanding of oxidation behavior of mechanically alloyed HEAs and contribute to their development.