High-entropy nanoparticles have become a rapidly growing area of research in recent years. Because of their multielemental compositions and unique high-entropy mixing states (i.e., solid-solution) that can lead to tunable activity and enhanced stability, these nanoparticles have received notable attention for catalyst design and exploration. However, this strong potential is also accompanied by grand challenges originating from their vast compositional space and complex atomic structure, which hinder comprehensive exploration and fundamental understanding. Through a multidisciplinary view of synthesis, characterization, catalytic applications, high-throughput screening, and data-driven materials discovery, this review is dedicated to discussing the important progress of high-entropy nanoparticles and unveiling the critical needs for their future development for catalysis, energy, and sustainability applications.