The preparation of coating materials with excellent mechanical and friction properties through surface protective coating technology is important to reduce the damage failure of components caused by collision and friction wear.Compared with single-layer protective coatings, metallic nano-multilayer coatings have received extensive attention due to their unique and controllable microstructure, excellent service properties, and their comprehensive performance can be further improved by combining new components or interface modulation. High entropy alloys also have excellent properties due to their novel composition design and four major effects, including high mixture entropy, severe lattice distortion, sluggish diffusion, and cocktail effects.Therefore, the introduction of high entropy alloys into metallic nanostructured multilayers to form metal/high entropy alloy nanostructured multilayers may break through the performance shortcomings of traditional metallic nanostructured multilayers and greatly improve the mechanical properties. In this paper, the related researches on metal/high entropy alloy nanostructured multilayers in recent years are reviewed, from the perspective of functional units and ordered structure. This review firstly introduces the preparation methods and process principles. Secondly, this review elucidates the microstructure of functional units in terms of grain morphology, interfacial structure and component composition, and discusses the mechanical behavior and intrinsic mechanism, simultaneously proposing an optimization strategy for tuning the mechanical properties of metal/high entropy alloy nanostructured multilayers. Finally, the future research directions and challenges are prospected.