High entropy alloy (HEA) nanoparticles hold promise as active and durable (electro)catalysts. Understanding their formation mechanism will enable rational control over the atomic arrangement of multimetallic catalytic surface sites. While prior reports have attributed HEA nanoparticle formation to nucleation and growth, there is a dearth of detailed mechanistic investigations. Here we utilize transmission electron microscopy (TEM), systematic synthesis, and mass spectrometry (MS) to demonstrate that HEA nanoparticles form by aggregation of non-crystalline multimetallic cluster intermediates. AuAgCuPtPd HEA nanoparticles were synthesized by aqueous co-reduction of metal salts with sodium borohydride in the presence of thiolated polymer ligands. Varying the metal:ligand ratio during synthesis showed that alloyed HEA nanoparticles formed only above a threshold ligand concentration. Alloyed sub-nanometer clusters were observed with the final HEA nanoparticles while few clusters were observed when phase-separated nanoparticles formed. Increasing supersaturation ratio increased particle size, which together with the observations of stable single atoms smaller than the critical nuclei size was inconsistent with a burst nucleation mechanism. Direct real-time observations with liquid phase TEM imaging showed that HEA nanoparticles formed by aggregation of sub-nanometer clusters. Taken together, these results are consistent with a reaction mechanism involving rapid reduction of metal ions into sub-nanometer alloyed clusters, followed by cluster aggregation driven by borohydride ion induced thiol ligand desorption. This work suggests intermediate cluster species as potential synthetic handles for rational control over HEA nanoparticle atomic structure.