A multiple-relaxation-time discrete Boltzmann model (DBM) is proposed for multicomponent mixtures, where compressible, hydrodynamic, and thermodynamic nonequilibrium effects are taken into account. It allows the specific heat ratio and the Prandtl number to be adjustable, and is suitable for both low and high speed fluid flows. From the physical side, besides being consistent with the multicomponent Navier-Stokes equations, Fick's law, and Stefan-Maxwell diffusion equation in the hydrodynamic limit, the DBM provides more kinetic information about the nonequilibrium effects. The physical capability of DBM to describe the nonequilibrium flows, beyond the Navier-Stokes representation, enables the study of the entropy production mechanism in complex flows, especially in multicomponent mixtures. Moreover, the current kinetic model is employed to investigate nonequilibrium behaviors of the compressible Kelvin-Helmholtz instability (KHI). The entropy of mixing, the mixing area, the mixing width, the kinetic and internal energies, and the maximum and minimum temperatures are investigated during the dynamic KHI process. It is found that the mixing degree and fluid flow are similar in the KHI process for cases with various thermal conductivity and initial temperature configurations, while the maximum and minimum temperatures show different trends in cases with or without initial temperature gradients. Physically, both heat conduction and temperature exert slight influences on the formation and evolution of the KHI morphological structure.