High entropy oxides (HEOs) are single phase solid solutions consisting of five or more elements in equiatomic or near-equiatomic proportions incorporated into the cationic sub-lattice(s). The uniqueness of the HEOs lies in their extreme chemical complexity enveloped in a single crystallographic structure, which in many cases results in novel functionalities. From the local structure perspective, HEOs consist of an unusually large number of different metal-oxygen-metal couples. Consequently, magnetic correlations in HEOs that inherently depend on the coordination geometry, valence, spin state and type of the metal cations that are hybridized with the bridging oxygen, are naturally affected by an extreme diversity of neighboring ionic configurations. In these conditions, a complex magneto-electronic free-energy landscape in HEOs can be expected, potentially leading to stabilization of unconventional spin-electronic states. This Frontier article provides an overview of the unique magnetic features stemming from the extreme chemical disorder in HEOs along with the possible opportunities for further research and exploration of potential functionalities.