High entropy alloys (HEAs), which can incorporate five or more constituents into a single phase stably, have received considerable attention in recent years. The composition/structure complexity and adjustability endow them with a huge design space to adjust electronic structure, geometric configuration as well as catalytic activity through constructing reaction active sites with optimal binding energies of different reaction intermediates. This paper reviews the recent progress on the preparation methods, characterization techniques, electrocatalytic applications and functional mechanisms of HEAs-based electrocatalysts for hydrogen evolution, oxygen evolution and oxygen reduction reactions. The synthesis approaches for HEAs from bottom-up (high-energy ball milling, cryo-milling, melt-spinning and dealloying) to top-down strategies (carbothermal shock, sputtering deposition and solvothermal) and the corresponding materials characterizations are discussed and analyzed. By summarizing and analyzing the electrocatalytic performance of HEAs for diverse electrocatalytic reactions in water electrolysis cells, metal-air batteries and fuel cells, the basic principle of their designs and the relevant mechanisms are discussed. The technical challenges and prospects of HEAs-based electrocatalysts are also summarized with the proposed further research directions. This review can provide a beneficial theoretical reserve and experimental guidance for developing high performance electrocatalytic materials via the paradigm of high entropy.