In the past decade, multi-principal element high-entropy alloys (referred to as high-entropy alloys, HEAs) are an emerging alloy material, which has been developed rapidly and has become a research hotspot in the field of metal materials. It breaks the alloy design concept of one or two principal elements in traditional alloys. It is composed of five or more principal elements, and the atomic percentage (at.%) of each element is greater than 5% but not more than 35%. The high-entropy effect caused by the increase of alloy principal elements makes the crystals easy form body-centered cubic or face-centered cubic structures, and may be accompanied by intergranular compounds and nanocrystals, to achieve solid solution strengthening, precipitation strengthening, and dispersion strengthening. The optimized design of alloy composition can make HEAs exhibit much better than traditional alloys such as high-strength steel, stainless steel, copper-nickel alloy, and nickel-based superalloy in terms of high strength, high hardness, high-temperature oxidation resistance, and corrosion resistance. At present, refractory high-entropy alloys (RHEAs) containing high-melting refractory metal elements have excellent room temperature and high-temperature properties, and their potential high-temperature application value has attracted widespread attention in the high-temperature field. This article reviews the research status and preparation methods of RHEAs and analyzes the microstructure in each system and then summarizes the various properties of RHEAs, including high strength, wear resistance, high-temperature oxidation resistance, corrosion resistance, etc., and the common property tuning methods of RHEAs are explained, and the existing main strengthening and toughening mechanisms of RHEAs are revealed. This knowledge will help the on-demand design of RHEAs, which is a crucial trend in future development. Finally, the development and application prospects of RHEAs are prospected to guide future research.