High entropy alloys (HEAs) based on five or more elements have caught worldwide attention due to the excellent properties endowed by their unique structures. Compared with traditional alloys, HEAs have high strength, thermal stability, oxidation resistance, and corrosion resistance. In recent years, the rapid development of HEAs shed light on the designing of new alloy systems. Their mixed multi-metallic sites give rise to a great potential for catalytic applications. In this review, we briefly introduce the phase structures of HEAs and their four core effects. In addition, the latest advances regarding HEAs are systematically summarized, with emphasis on the synthesis methods and catalytic applications, such as thermal-driven catalysis and electrocatalysis. To sum up, the current progress, challenges and future prospects of HEAs are discussed, hoping to provide a valuable route to understand this research field.