A reduction in the particle size is expected to improve the properties and increase the application potential of high-entropy alloys. Therefore, in this study, a novel sol-gel autocombustion technique was first used to synthesize high-entropy alloys. The average grain size of the prepared nanocrystalline CoCrCuNiAl high-entropy alloys showed was 14 nm with an excellent and uniform dispersion, exhibiting a distinct magnetic behavior similar to the superparamagnetic behavior. We show that the metal nitrates first form (Co,Cu,Mg,Ni,Zn)O high-entropy oxides, and then in situ reduce to CoCrCuNiAl high-entropy alloys by the reducing gases, and the chelation between citric acid and the metal ions and the in situ chemical reactions are the dominant reaction mechanisms. We demonstrate that the sol-gel autocombustion process is an efficient way to synthesize solid solution alloys eluding the restriction of a high mixing entropy.