Cubic bixbyite-structured high-entropy oxides (HEOs) are regarded as potential candidates in high temperature thermal insulation field in recent years. However, their relevant properties are still needed to be explored for possible applications. In this work, twelve new high-entropy oxides (HEO1-12) of (5Re0.2)2O3 (Re represents five elements selected from Ce, Nd, Sm, Eu, Gd, Dy, Ho, Er, Tm, Yb) are prepared by solution combustion synthesis method combined with conventional sintering. Except HEO10 with a single monoclinic phase, other samples have a single bixbyite phase. The average grain size of bixbyite-structured samples is within 0.76 ∼ 4.96 μm. Then, the samples of HEO4, 5, 7–9 are chosen to study their mechanical and thermal properties. Their nano-modulus, nano-hardness, fracture toughness KIC, brittleness M and surface fracture energy are in the range of 152.42 ∼ 237.33 GPa, 9.22 ∼ 12.65 GPa, 1.77 ∼ 2.51 MPa·m1/2, 2.35 ∼ 3.09 μm−1/2 and 9.00 ∼ 22.49 J m−2, respectively. HEO4, i.e., (Ce0.2Nd0.2Sm0.2Dy0.2Gd0.2)2O3, exhibits higher KIC (1.92 MPa·m1/2) and lower M (2.71 μm−1/2) than another reported cubic bixbyite-structured HEO of (Eu0.2Er0.2Lu0.2Y0.2Yb0.2)2O3. Among the five samples, HEO4 has the lowest thermal conductivity κ (1.88 ∼ 2.55 W·m−1·K−1 in 25 ∼ 500 °C), which is much lower than bixbyite-structured Y2O3. In addition, HEO4 possesses a lower oxygen diffusion compared with 8YSZ in 600 ∼ 700 °C, which endows it the better oxygen barrier property. To sum up, HEO4 could be a promising candidate for high temperature thermal insulation applications due to its excellent comprehensive properties.