Due to the huge composition space, composition screening is of great importance to the optimization of high‐entropy diborides (HEBs) with exceptional oxidation resistance. However, related studies are lacking. Here, a novel rapid, effective strategy to fully screen the compositions on the oxidation resistance of HEBs is proposed. Specifically, the synthesis of the equiatomic 1‐ to 9‐cation multicomponent diborides of the IVB, VB, and VIB groups in seconds via an ultrafast ultrahigh‐temperature synthesis technique is realized. Subsequently, combined with the thermogravimetric analysis and first‐principles calculations, the roles of incorporated elements are systematically explored. The results show that Zr, Cr, Ta, Nb, and W elements are the key to the improved oxidation resistance of HEBs, while Ti, Mo, and V elements are destructive. In particular, the positive roles of metal elements are mainly attributed to the partial dissolution of the generated metal oxides into the generated B2O3 glass, which can improve the viscosity of B2O3 and thus enhance its high‐temperature stability and reduce the oxygen diffusion rate, as confirmed by the first‐principles calculations. This study paves a way to rapidly screen the elements in HEBs, which can be a guide for further anti‐oxidation designs.