High entropy alloys (HEAs), with their significant high entropy effect, have exhibited great potential in many fields. However, precise synthesis of ultrafine, and multifunctional HEAs remains challenging. We synthesize RuCuFeCoNi HEAs with the average size of 3.41 nm on carbon support (RuCuFeCoNi/C) via a combination of wet chemical method and a high temperature thermal shock (HTS) strategy. The density functional theory (DFT) calculations reveal that the incorporation of Ru into CuFeCoNi alloy decrease the adsorption strength effectively between the active sites and ∗H intermediate during hydrogen evolution reaction (HER) process. Especially, RuCuFeCoNi/C reduce the rate-determining step (RDS) energy barrier, and promotes the desorption of ∗O + ∗OH intermediates, leading to the significant enhancement in OER performance. In 1.0 M KOH solution, RuCuFeCoNi/C exhibits ultrahigh activity, achieving 1000 mA cm−2 at the overpotentials of 186 mV (HER) and 435 mV (OER), respectively. RuCuFeCoNi/C also shows excellent HER and OER activity in 1.0 M PBS solution, and the overpotentials are only 141 and 543 mV at 100 mA cm−2, respectively. Moreover, an anion exchange membrane water electrolyzer (AEMWE) assembled by RuCuFeCoNi/C||RuCuFeCoNi/C couple achieves industrial current densities of 500 and 1000 mA cm−2 at 1.79 and 1.91 V, respectively. The excellent HER and OER activity of RuCuFeCoNi/C enables AEMWE to operate efficiently for more than 240 h at 500 mA cm−2, retaining up to 98.6% of initial current density. This work provides a unique and energy-efficient protocol to prepare HEAs for various electrocatalytic reactions.