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Three CoCrFeMnNi high-entropy alloys (HEAs) were produced by vacuum induction melting, induction melting under inert gas atmosphere, and melting under inert gas atmosphere followed by air exposure, respectively. The different manufacturing conditions for the three investigated alloys resulted in different levels and types of inclusions. The alloys melted under vacuum or inert gas contained Al2O3 inclusions formed by impurity Al, due to its high oxidation tendency. The molten alloy exposed in air showed an excessive oxidation. During oxidation of the molten alloy in air, impurity Al was initially oxidized, and fine MnCr2O4 inclusions were formed rather than pure Al2O3 inclusions. This difference was analyzed based on thermodynamic calculations. Specifically, the influence of impurity content on the inclusion characteristics was investigated for the three HEAs. Moreover, the inclusion characteristics were found to have an influence on mechanical properties of the alloys also. In air-exposed HEA, smaller inclusions were formed, resulting in a higher dislocation density at the matrix/inclusion interface and thus strengthening of the HEA. Thus, it is proposed that atmospheric conditions could be an important factor to control the inclusion characteristics and to form fine inclusion particles, which could improve the mechanical properties of HEAs.