This review summarizes the state of high-entropy alloys and their combinatorial approaches, mainly considering their magnetic applications. Several earlier studies on high-entropy alloy properties, such as magnetic, wear, and corrosion behavior; different forms, such as thin films, nanowires, thermal spray coatings; specific treatments, such as plasma spraying and inclusion effects; and unique applications, such as welding, are summarized. High-entropy alloy systems that were reported for both their mechanical and magnetic properties are compared through the combination of their Young’s modulus, yield strength, remanent induction, and coercive force. Several potential applications requiring both mechanical and magnetic properties are reported.