High-entropy alloys (HEAs) have gained considerable attention for their exceptional properties, positioning them as promising candidates for the advancement of energy conversion and storage systems. This review offers a comprehensive overview of recent developments in catalysis related to HEAs, focusing on critical areas such as the hydrogen evolution reaction, oxygen evolution reaction, oxygen reduction reaction, hydrogen storage, zinc–air batteries, and supercapacitors. We begin by exploring the foundational aspects of HEAs, including component selection, strategies for achieving a stable single solid solution phase, and effective synthesis methods. The review emphasizes that HEAs exhibit superior electrocatalytic activity, cycling stability, and durability compared to traditional noble metal catalysts, making them highly effective as anode and cathode materials in electrochemical energy storage systems. In hydrogen storage applications, HEAs demonstrate significant capacity and stability as metal hydrides, facilitating efficient hydrogen absorption and desorption. Additionally, in zinc–air batteries, HEAs enhance performance through improved electrocatalytic activity for oxygen reduction and evolution reactions. In supercapacitors, their large surface area and excellent electrical conductivity contribute to enhanced energy storage efficiency. Finally, we outline potential future directions and emerging technologies that could leverage the unique properties of HEAs, underscoring their role in shaping the future of energy-related applications.