High entropy oxides (HEOs) are single-phase solid solutions consisting of 5 or more cations in approximately equiatomic proportions. In this study, we show the reversible control of optical properties in a rare-earth (RE) based HEO-(Ce0.2La0.2Pr0.2Sm0.2Y0.2)O2−δ and subsequently utilize a combination of spectroscopic techniques to derive the features of the electronic band structure underpinning the observed optical phenomena. Heat treatment of the HEO under a vacuum atmosphere followed by reheat treatment in air results in a reversible change in the bandgap energy, from 1.9 eV to 2.5 eV. The finding is consistent with the reversible changes in the oxidation state and related f-orbital occupancy of Pr. However, no pertinent changes in the phase composition or crystal structure are observed upon the vacuum heat treatment. Furthermore, annealing of this HEO under a H2 atmosphere, followed by reheat treatment in air, results in even larger but still a reversible change in the bandgap energy from 1.9 eV to 3.2 eV. This is accompanied by a disorder–order type crystal structure transition and changes in the O 2p–RE 5d hybridization evidenced from x-ray absorption near-edge spectra (XANES). The O K and RE M4,5/L3 XANES indicate that the presence of Ce and Pr (in 3+/4+ states) leads to the formation of intermediate 4f energy levels between the O 2p and the RE 5d gap in HEO. It is concluded that heat treatment under reducing/oxidizing atmospheres affects these intermediate levels, thus offering the possibility to tune the bandgap energy in HEOs.