<p>As a novel multi-component material system that breaks away from the traditional paradigm of single-component design, high-entropy alloys demonstrate unique advantages in microstructural control and performance optimisation due to their high configurational entropy, significant lattice distortion and multi-element composition. This paper provides a systematic review of the fundamental theories and research progress regarding high-entropy alloys. Adopting a thermodynamic-kinetic coupling perspective, it elucidates the synergistic regulatory mechanisms by which key parameters, such as mixing enthalpy, configurational entropy, atomic size difference and valence electron concentration, influence phase formation and structural stability. Theoretical mechanisms provide a scientific basis for materials design, whilst the preparation of high-entropy alloys relies on various process routes; research into high-entropy alloys has been conducted using liquid-phase, solid-phase, vapour-phase and electrochemical methods. In terms of performance, the study provides a systematic overview of the multi-scale strengthening mechanisms of high-entropy alloys in relation to mechanical properties, oxidation resistance, corrosion resistance and hydrogen storage capacity. In terms of performance, this paper systematically summarises the multi-scale strengthening mechanisms of high-entropy alloys in relation to mechanical properties, oxidation resistance, corrosion resistance and hydrogen storage performance. The research indicates that through composition design, phase structure control and interface engineering, it is possible to achieve a synergistic effect of solid solution strengthening, precipitation strengthening and heterogeneous structure strengthening, thereby obtaining excellent strength–ductility balance and environmental adaptability. On this basis, the applications of high-entropy alloys have been further extended to functional fields such as magnetothermal and biomedical applications.</p>