Strong substrate affinity and high catalytic efficiency are persistently pursued to generate high‐performance nanozymes. Herein, with unique surface atomic configurations and distinct d‐orbital coupling features of different metal components, a class of highly efficient MnFeCoNiCu transition metal high‐entropy nanozymes (HEzymes) is prepared for the first time. Density functional theory calculations demonstrate that improved d‐orbital coupling between different metals increases the electron density near the Fermi energy level (E_F) and shifts the position of the overall d‐band center with respect to E_F, thereby boosting the efficiency of site‐to‐site electron transfer while also enhancing the adsorption of oxygen intermediates during catalysis. As such, the proposed HEzymes exhibit superior substrate affinities and catalytic efficiencies comparable to that of natural horseradish peroxidase (HRP). Finally, HEzymes with superb peroxidase (POD)‐like activity are used in biosensing and antibacterial applications. These results suggest that HEzymes have great potential as new‐generation nanozymes.