High-entropy diborides (HEDBs) have gained significant attention in industrial applications due to their vast composition space and tunable properties. We propose a solid solution reaction at high temperatures and pressures that successfully synthesized and sintered a novel, dense, and phase-pure HEDB (V0.2Nb0.2Ta0.2Cr0.2W0.2)B2. A high asymptotic Vickers hardness of 26.3 ± 0.6 GPa and a bulk modulus of 320.5 ± 10.6 GPa were obtained. Additionally, we investigated the thermal oxidation process using TG-DSC from room temperature to 1500 °C and explored the phase stability of HEDBs under high-pressure conditions through in situ high-pressure synchrotron radiation X-ray diffraction. We analyzed the formation of lattice distortion, chemical bonding, and band structure in (V0.2Nb0.2Ta0.2Cr0.2W0.2)B2 using first-principles calculations. Surprisingly, we found that the predominant distortion in diborides occurs in the boron layer, supported by ELF. This may be due to uneven electron transfer rather than a straightforward correlation with the atomic radius. These results provide a novel synthesis process and additional experimental data on the mechanical and thermal properties and high-pressure phase stability of HEDBs. Our study offers further insights into the microscopic structure of lattice distortion in HEDBs, which could prove crucial for the selection and design of engineering advanced HEDBs.