The present study successfully demonstrates the fabrication of a novel class of high-entropy alloy, namely Nb17Zr33Ti17W33, through suspension melting and casting technique. To investigate the dynamic mechanical behavior and energy release effects of the alloy under high-speed impact loads, various techniques were employed, including split Hopkinson pressure bar (SHPB), X-ray diffractometer (XRD), scanning electron microscope (SEM), and high-speed photography. These methods were utilized to acquire crucial data, such as crystal structure analysis, stress–strain curves, and microstructural examination of failed specimens. The modified Johnson–Cook (J-C) model was employed to elucidate the dynamic flow behavior of the alloy, while investigating the failure mechanism and energy release phenomenon during the process of dynamic compression. The experimental results demonstrate that the alloy material exhibits a dual-phase (BCC1 + BCC2) structure, exhibiting ductile fracture behavior under dynamic compression conditions. On the fracture surface, typical dimple structures along with evidence of shear slip and melting traces were observed, indicating an energy-releasing failure process. The newly developed alloy exhibited exceptional strength, high density, remarkable plasticity, and outstanding energy release properties, rendering it highly promising for applications under extreme loads.