LaMgAl11O19 (LMA) with magnetoplumbite structure has emerged as a promising candidate for thermal barrier coating (TBC). However, the inherent high thermal conductivity and relatively low thermal expansion coefficient (TEC) of LMA impose limitations on its further application. In this work, a novel high-entropy hexaluminate (La0.2Nd0.2Sm0.2Eu0.2Gd0.2)MgAl11O19 (HE-LMA) has been designed and prepared to overcome these obstacles. HE-LMA with homogeneous chemical composition distribution possesses excellent phase stability up to 1600°C. Moreover, the TEC of HE-LMA (9.22 × 10−6 K−1 at 1300°C) is larger than that of LMA. The high-entropy strategy effectively decreases the thermal conductivity of HE-LMA (from 3.27 W/(m⋅K) at room temperature to 2.19 W/(m∙K) at 1000°C) in comparison to that of LMA (3.63–2.62 W/(m∙K)). Furthermore, HE-LMA demonstrates higher microhardness and fracture toughness due to the lattice distortion. These results indicate that (La0.2Nd0.2Sm0.2Eu0.2Gd0.2)MgAl11O19 has the potential to be applied as a TBC.