High entropy alloys (HEAs) are a novel class of materials that have emerged as potential candidates for various industrial applications due to their excellent mechanical properties at cryogenic, ambient, elevated temperatures, and even under a hydrogen environment. The incorporation of nanocrystalline (nc) structure into HEAs has attracted significant attention for the further enhancement of their exceptional properties, as exceptional grain refinement usually results in enhanced strength without a large expense of ductility. High-pressure torsion (HPT) is often considered one of the most efficient methods for nanocrystallization, and this also holds true for HEAs. Recently, nanoindentation technique has been widely utilized to explore the relationship between HPT-induced grain refinement and mechanical behavior due to the inhomogeneous microstructure within the HPT disk. In this report, recent nanoindentation studies performed on HPT-processed HEAs are comprehensively reviewed with special emphasis on the nanomechanical behavior of nc HEAs.