Transition metal borides are commonly hard and incompressible, offering great opportunities for advanced applications under extreme conditions. Recent studies show that the hardness of high-entropy borides may exceed that of their constituent simple borides due to the "cocktail effect". However, how high-entropy borides deform elastically remains largely unknown. Here, we show that two newly synthesized high-entropy diborides are ultra-incompressible, attaining ∼90% of the incompressibility of single-crystalline diamond and exhibiting a 50-60% enhancement over the density functional theory predictions. This unusual behavior is attributed to a Hall-Petch-like effect resulting from nanosizing under high pressure, which increases the bulk moduli through dynamic dislocation interactions and creation of stacking faults. The exceptionally low compressibility, together with their high phase stabilities, high hardness, and high electric conductance, renders them promising candidates for electromechanics and microelectronic devices that demand strong resistance to environmental impacts, in addition to traditional grinding and abrading.