Since their introduction in 2004, high entropy alloys (HEAs) have attracted significant attention due to their exceptional mechanical and functional properties. Advances in our understanding of atomic-scale ordering and phase formation in HEAs have facilitated the development of fabrication techniques for synthesizing nanostructured HEAs. These materials hold immense potential for applications in various fields including automobile industries, aerospace engineering, microelectronics, and clean energy, where they serve as either structural or functional materials. In this comprehensive Review, we conduct an in-depth analysis of the mechanical and functional properties of nanostructured HEAs, with a particular emphasis on the roles of different nanostructures in modulating these properties. To begin, we explore the intrinsic and extrinsic factors that influence the formation and stability of nanostructures in HEAs. Subsequently, we delve into an examination of the mechanical and electrocatalytic properties exhibited by bulk or three-dimensional (3D) nanostructured HEAs, as well as nanosized HEAs in the form of zero-dimensional (0D) nanoparticles, one-dimensional (1D) nanowires, or two-dimensional (2D) nanosheets. Finally, we present an outlook on the current research landscape, highlighting the challenges and opportunities associated with nanostructure design and the understanding of structure-property relationships in nanostructured HEAs.