High‐entropy alloy nanoparticles (HEA NPs) have aroused great interest globally with their unique electrochemical, catalytic, and mechanical properties, as well as diverse activity and multielement tunability for multi‐step reactions. Herein, a facile low‐temperature synthesis method at atmospheric pressure is employed to synthesize Pd‐enriched‐HEA‐core and Pt‐enriched‐HEA‐shell NPs with a single phase of face‐centred cubic structure. Interestingly, the lattice of both Pd‐enriched‐HEA‐core and Pt‐enriched‐HEA‐shell enlarge during the formation process of HEA, with tensile strains included in the core and shell of HEA. The as‐obtained PdAgSn/PtBi HEA NPs show excellent electrocatalytic activity and durability for methanol oxidation reaction (MOR) and ethanol oxidation reaction (EOR). The specific (mass) activity of PdAgSn/PtBi HEA NPs for MOR is 4.7 mA cm−2 (2874 mA mg(Pd+Pt)−1), about 1.7 (5.9) and 1.5 (4.8) times higher than that of commercial Pd/C and Pt/C catalysts, respectively. Additional to high‐entropy effect, Pt sites and Pd sites on the interface of the HEA act synergistically to facilitate the multi‐step process towards EOR. This study offers a promising way to find a feasible route for scalable HEA manufacturing with promising applications.