To create thermal barrier coatings (TBCs) with superior thermal characteristics and high-temperature stability, understanding the microscopic process of heat transfer in high-entropy solid solutions is crucial. In this study, novel (Zr0.2(1-x)Ce0.2(1-x)Pr0.2(1-x)Y0.2(1-x)Ho0.2(1-x)Mgx)O2-δ single-phase high-entropy fluorite-structured oxides with varying Mg elemental contents were successfully synthesized at 1600 °C. Given the unique ionic radius and valence nature of Mg2+, the effects of varying the Mg doping amount on the thermophysical properties and microstructures were explored. Furthermore, the mechanism influencing high-temperature thermal conductivity was studied at the microscopic scale using first-principles calculations to clarify the nature of the thermal conductivity behavior. On one hand, an increase in oxygen vacancies leads to an enhancement of the lattice distortion degree and phonon scattering level. On the other hand, divalent Mg2+ activates the lattice via unequal substitutions, thereby reducing the thermal conductivity. The experimental and simulation results revealed that as Mg doping increases, the content of oxygen vacancies significantly increases, the degree of lattice distortion increases, phonon scattering is enhanced (19.54-21.37 THz), high-temperature thermal conductivity progressively decreases (1.91-1.20 w·m-1·K-1), and the coefficient of thermal expansion progressively increases (11.70 × 10-6-12.31 × 10-6 K-1). These results offer a novel approach for designing doped high-entropy strategies that can satisfy the performance requirements of TBCs.