This study presents the production and comprehensive assessment of a Refractory High Entropy Alloy (RHEA) with a ZrNbTaMoW composition for possible usage nuclear reactor applications. The alloy was synthesized using the mechanical alloying (MA) method, and its radiation properties were examined. Elemental powders of Zr, Nb, Ta, Mo, and W were utilized in equimolar quantities during the 120-hour MA process, conducted under a high-purity Ar atmosphere to prevent oxidation. The obtained HEA was then subjected to a mechano-thermal process to transform it into Refractory High-Entropy Oxide (RHEO) for comparing their radiation-shielding performance under oxide conditions. The characterization of the produced alloys through X-ray diffraction (XRD), scanning electron microscopy (SEM), and electron dispersive spectroscopy (EDS). The photon shielding parameters of the alloys were experimentally obtained for various energies emitted from a 133Ba radioactive source, employing a Canberra UltraLEGe semiconductor detector. Furthermore, theoretical calculations were performed to validate the experimental data and to evaluate the alloys' photon shielding capabilities comprehensively. For this purpose, Phy-X/PSD software was employed to determine mass attenuation coefficients, half-value layer, effective atomic number, and effective electron density. Fast neutron absorption capabilities were determined through the calculation of average absorption cross-sections in the 2–12 MeV energy range. The results showed that the oxidation process significantly diminished the photon absorption capacity of RHEA.