Abstract Nanoscale high‐entropy alloys (NHEAs) have attracted considerable attention owing to their exceptional structural stability, compositional tunability, and multielement synergy. However, traditional “top‐down” and “bottom‐up” classifications fail to reveal the underlying thermodynamic principles governing alloy formation and stabilization at the nanoscale. In this review, a thermodynamics‐guided classification framework is established, based on the extended Gibbs free‐energy relationship for nanoscale systems, Δ G mix = Δ H mix − T Δ S mix + γ s A + γ i A i +Δ G k . According to this principle, four dominant mechanisms are summarized: i) enthalpy‐dominated strategies that overcome unfavorable mixing enthalpy through high‐energy input, ii) entropy‐driven routes that enhance configurational entropy to stabilize disordered solid solutions, iii) thermally regulated processes governed by temperature‐dependent energy balance, and iv) interfacial or confined‐space Gibbs free (ΔG)‐optimization strategies that minimize total free energy through spatial confinement and defect regulation. The interrelationships among these mechanisms are further analyzed to illustrate the continuous transition along the Gibbs free‐energy landscape. Moreover, the effect of increasing the number of constituent elements on configurational entropy and compositional diversity is discussed, providing guidance for the rational design and thermodynamic stabilization of multicomponent nanosystems. Finally, current challenges and prospective directions for thermodynamic regulation and predictive synthesis of NHEAs are highlighted.