Abstract Transition metal high‐entropy alloys (HEAs) demonstrate exceptional catalytic performance due to their structural complexity, featuring rich local atomic configurations, tunable electronic structures, and abundant active sites. However, this structural versatility poses both thermodynamic and kinetic challenges to conventional wet‐chemical synthesis routes. Herein, we develop a novel solution plasma strategy that enables the direct synthesis of HEA catalysts in aqueous media. Through the FeCoNiCrMn electrode discharge in pure water, uniform HEAs nanoparticles (≈200 nm) are successfully anchored onto a variety of oxide substrates. The HEAs/TiO 2 catalyst achieves a CO generation rate of 298.1 mmol/g HEAs /h, representing ca. an order‐of‐magnitude higher activity than single‐metal catalysts under both thermocatalytic and photothermal conditions. Advanced structural characterization reveals a dual‐phase core‐shell architecture consisting of a metallic alloy core and surface oxides preferentially enriched at CrMn sites. This spatially resolved structure enables cooperative catalysis, where CrMn‐rich oxide domains promote H 2 dissociation, CoNi metallic regions facilitate CO 2 reduction, and Fe sites present in mixed valence states serve as electron and oxygen transfer bridges. We further identify a self‐limiting oxidation mechanism intrinsic to plasma synthesis, which ensures charge redistribution at the metal‐oxide interfaces and synergistically enhances photothermal catalysis. This work establishes an energy‐efficient synthetic route for HEAs and elucidates structure‐function relationships critical for advancing multimetallic catalytic systems.