The performances of high‐entropy materials (HEMs), including high‐entropy alloys, high‐entropy ceramics, and high‐entropy polymers, with unique characteristics (high mixing entropy, serious lattice distortion, and short‐range order) determined by experiments are out of the ordinary, such as the excellent mechanical properties. The important research methods on HEMs are briefly introduced from the physical modeling, multiscale simulation, and experiments at various scales. The microstructures (dislocation, twinning, grain boundary, and phase) and performances (mechanical property, physical property, chemical property, optical property, medical property, and irradiation property) are summarized. Future directions of research and development with a focus on modeling and simulation in HEMs are discussed. In the next, HEMs with the unique properties would be promising candidates for industrial applications beyond conventional alloys.