By leveraging a capping-agent assisted approach, ultrasmall and highly dispersed AuPdRuRhPt high entropy alloy (HEA) nanoparticles are synthesized, overcoming aggregation challenges and enabling control over atomic-scale mixing and coordination environments among the constituent metals. Using polyethylene glycol (PEG) and polyvinylpyrrolidone (PVP) as capping agents, we obtained uniform nanoparticles (<10 nm) with improved catalytic stability and active site accessibility. Structural characterization using high-resolution transmission electron microscopy (HR-TEM), synchrotron wide-angle X-ray scattering (WAXS), pair distribution function (PDF) analysis, and X-ray photoelectron spectroscopy (XPS) revealed that the capping agent influences the size and the atomic arrangement of the HEA structure, which is crucial for optimizing catalytic activity. PEG-capped HEA NPs exhibited superior catalytic activity for both the HER (122 mV@−0.01 mA cm−2 ECSA) and the OER (220 mV@−0.01 mA cm−2 ECSA), with lower overpotentials compared to Pt/C and IrO2. These results emphasize the critical role of capping agents in optimizing both the electrochemical performance and stability of HEA nanoparticles, offering valuable insights for the design of efficient electrocatalysts for energy conversion applications.