In recent years, high-entropy alloys (HEAs) have become prominent metallic materials due to their unique design strategies and excellent mechanical properties. The HEAs-inherent high-entropy, lattice-distortion, sluggish-diffusion, and cocktail effects make HEAs maintain high strength, oxidation resistance, corrosion resistance, wear resistance, and other excellent comprehensive properties, showing stronger competitiveness relative to traditional alloys. Refractory high-entropy alloys (RHEAs) are considered as a new kind of high-temperature materials with great application prospects due to their excellent mechanical properties and have the potential to replace nickel-based superalloy as the next generation of high-temperature materials. We reviewed the research status and preparation methods of RHEAs in recent years, including the metallurgical smelting, powder metallurgy, magnetron sputtering, and additive manufacturing technologies. The microstructure and phase-transformation process of RHEAs were analyzed. The mechanical properties and main strengthening and toughening mechanisms of RHEAs, such as solid-solution strengthening, precipitation strengthening, and the transformation-induced plasticity (TRIP), were discussed, and the deformation mechanism of RHEAs was revealed. The properties of RHEAs, including high strength, oxidation resistance, corrosion and wear resistance were reviewed. RHEAs will meet the huge market demand in the engineering materials field, but there are still many challenges, such as the trade-off between high strength and high ductility, structural design, and performance optimization of RHEAs with brittle BCC structures. We believe that this combination of knowledge may shape the future of RHEAs and break through the mutually exclusive conundrum of high strength and high toughness for RHEAs.