High entropy materials (HEMs) compositing of at least five elements have gained widespread attention in the field of electrocatalysis due to their tunable activities and high stability. These intrinsic properties can be further highlighted when the size of HEMs comes to the nanoscale. In nanostructured HEMs, the fascinating properties including large composition space, multi‐element synergy, and high configuration entropy are expected to endow nano‐HEMs with excellent catalytic activity and stability, thus providing greater potential for the design of advanced electrocatalysts. In this review, nano‐HEMs are differentiated in detail in dimensions and the common synthesis methods are summarized. Additionally, from the perspective of the complex nanostructure‐performance relationship, the applications of nano‐HEMs in electrocatalysis systems, including water‐splitting (hydrogen evolution reaction (HER), oxygen evolution reaction (OER)), hydrogen oxidation reaction (HOR), oxygen reduction reaction (ORR), carbon dioxide reduction reaction (CO2RR), nitrogen reduction reaction (NRR) and alcohol oxidation reaction (AOR) are discussed. Finally, the main challenges faced by nano‐HEMs electrocatalysis are underscored. This review is expected to provide more insights into understanding and developing efficient electrocatalytic materials for practical applications.