Metal fluorides (e.g., FeF2 and FeF3) have received attention as conversion-type cathode materials for Li-ion batteries due to their higher theoretical capacity compared to that of common intercalation materials. However, their practical use has been hindered by low round-trip efficiency, voltage hysteresis, and capacity fading. Cation substitution has been proposed to address these challenges, and recent advancements in battery performance involve the introduction of entropy stabilization in an attempt to facilitate reversible conversion reactions by increasing configurational entropy. Building on this concept, high entropy fluorides with five cations were synthesized by using a simple mechanochemical route. In order to examine the impact of element selection, Co0.2Cu0.2Ni0.2Zn0.2Fe0.2F2 (HEF-Fe) was compared with Co0.2Cu0.2Ni0.2Zn0.2Mg0.2F2 (HEF-Mg), replacing electrochemically inactive Mg with Fe as an active participant in the conversion reaction. Combining electrochemical measurements with first-principles calculations, high-resolution electron microscopy, and synchrotron X-ray analysis, HEFs' battery performances and conversion reaction mechanisms were investigated in detail. The results highlighted that replacement of Mg with Fe was beneficial, with enhanced capacity, rate capability, and surface stability. In addition, it was found that HEF-Fe showed similar cycle stability without an electrochemically inactive element. These findings provide valuable insights for the design of high entropy multielement fluorides for improved Li-ion battery performance.