In the past decade, nanomechanical techniques have become ubiquitous for mechanical measurement concurrently with the discovery of high-entropy alloys (HEAs). Different from large-scale testing, small-scale measurements offer quantitative details about mechanical behavior of materials at the micro/nanoscale, presenting new opportunities to probe fundamental nature of HEAs. This article will review the literature on using versatile nanomechanical tools for HEA studies, including nanoindentation, microcompression, high-temperature deformation, fracture measurement, and in situ electron microscopy. With these approaches, many interesting phenomena and properties of HEAs have been unveiled, for example, properties about incipient plasticity, strain-rate sensitivity, creep, diffusion, size-dependent strength, and fracture, which are difficult, or impossible, to be measured in macroscopic experiments. Despite current literature only focusing on a few HEA compositions and several methods, as nanomechanics and HEAs are developing rapidly, a new avenue of research is to be exploited. The article concludes with perspectives about future directions in this field.