High-entropy alloys (HEAs) have recently become a vibrant field of study in the metallic materials area. In the early years, the design of HEAs was more of an exploratory nature. The selection of compositions was somewhat arbitrary, and there was typically no specific goal to be achieved in the design. Very recently, however, the development of HEAs has gradually entered a different stage. Unlike the early alloys, HEAs developed nowadays are usually designed to meet clear goals, and have carefully chosen components, deliberately introduced multiple phases, and tailored microstructures. These alloys are referred to as advanced HEAs. In this paper, the progress in advanced HEAs is briefly reviewed. The design strategies for these materials are examined and are classified into three categories. Representative works in each category are presented. Finally, important issues and future directions in the development of advanced HEAs are pointed out and discussed.