High-entropy alloys (HEAs) are revolutionary materials containing five or more primary elements in near-equiatomic amounts to produce an alloy with high configurational entropy that stabilizes at a simple solid solution. Unlike conventional alloys, which are based on one dominant element, HEAs represent a novel advanced material that has shown great properties. These properties are the reason for scientific interest, as they have potential industrial applications due to their exceptional mechanical, thermal, and chemical properties. This paper aims to explore the different rules and principles that dictate their phase formation, including the thermodynamic and kinetic factors that are involved in the development of their phases and nanostructures. The four key effects associated with HEAs will also be explored: the high-entropy effect, severe lattice distortion effect, sluggish diffusion effect, and cocktail effect. The relationship between their unique phase formations and nanostructures and their properties will be discussed, with a view to optimizing them to prioritize certain properties for targeted applications. The mechanisms that occur and dictate these effects on the HEA for its strengthening and deformation will be analyzed to identify the benefits and trade-offs associated with modifying alloy composition and processing parameters. The fabrication methods for different types of HEAs will be reviewed along with current and emerging industrial applications of HEAs, especially in fields that require superior mechanical performance and environmental resistance. Thus, this review highlights their behavior, optimization, and potential applications as the next generation of materials.