High entropy alloys (HEAs) earned the attention of the scientific community since their discovery in the year 2004, while the progress in this field has been realized since the year 2010 when a drastic increase in demand for HEAs was observed due to their unique characteristics and ability to form several compositions. As universally acknowledged, the immense potential in compositions, microstructures, and properties has sparked a great interest in this field. Researchers primarily focused on equiatomic HEAs, but the paradigm eventually shifted to non-equiatomic alloys. As the research progressed, four core effects were identified as the most important aspects in enabling the distinct characteristics. Mechanical alloying (MA), followed by the sintering approach, has piqued the interest of all researchers focusing on HEA processing. Accordingly, the main objective of this review is to critically discuss mechanically alloyed HEAs in the view of mechanical properties, tribological behavior, and functional properties. Furthermore, the predominant challenges and their conceivable prospects are also deliberated that offer novelty to this review article.