High‐entropy alloys (HEAs) materials, as promising nanomaterials, have garnered significant attention from researchers due to their excellent performance in the field of hydrogen evolution reaction (HER). The four core effects of HEAs, including the high‐entropy effect, severe lattice distortion effect, sluggish diffusion effect, and cocktail effect, are pivotal in underpinning their remarkable mechanical and thermodynamic properties. Nevertheless, the intricate geometric and electronic structures of HEAs make their catalytic mechanisms exceptionally complex and challenging to decipher. In particular, a thorough analysis of the underlying factors responsible for the outstanding catalytic activity, selectivity, and the ability to maintain stable hydrogen production, even at high current densities, in HEAs is lacking. To provide a systematic exploration of the design and application of HEAs in HER systems, this review commences with an examination of the physicochemical properties of HEAs. It covers a wide range of topics, including the synthesis methods of HEAs, and the major reaction mechanisms of HERs, and presents innovative methods and approaches for designing HEAs specifically in the context of HERs.