High-entropy alloys (HEAs) represent an emerging class of materials characterized by their multi-principal element compositions, which impart exceptional mechanical properties, including ultrahigh strength, ductility, and fracture toughness. These attributes stem from unique microstructural features such as severe lattice distortion and nanoscale chemical heterogeneity making HEAs promising for advanced applications in aerospace, automotive, and structural engineering. However, their deformation mechanisms operate across multiple scales, complicating the prediction of mechanical behavior. This review highlights the role of multiscale finite element modeling (FEM) approaches, including crystal plasticity frameworks and machine learning-integrated methods, in elucidating structure property relationships. Despite progress, challenges such as computational intensity and experimental validation gaps remain. Future directions emphasize AI-enhanced discovery and high-throughput simulations to accelerate the development of next-generation HEAs.