Refractory high‐entropy alloys (HEAs) have shown promising high temperature strengths, while their mechanical behaviors at room temperature are rarely reported. In this work, the room‐temperature mechanical properties of V20Nb20Mo20Ta20W20 refractory HEA under various different loading modes including tension, compression, bending, shear loading, and microhardness are investigated. The results show that this alloy exhibits very high compressive strength but quite low strengths under tension, bending, and shear loading, similar to the conventional brittle materials. However, pronounced plasticity and slip bands are observed in compression samples, and no indentation cracking is observed in low‐load microhardness tests, which indicate the potential ability of plastic deformation in this refractory HEA. The present work suggests that the microstructure or composition of this HEA should be carefully tailored before its practical usage to suppress its large tendency for cracking and eventually improve its ductility and strength under tension.