Phase transformations in multicomponent rare earth sesquioxides were studied by splat quenching from the melt, high temperature differential thermal analysis and synchrotron X-ray diffraction on laser-heated samples. Three compositions were prepared by the solution combustion method: (La,Sm,Dy,Er,RE)2O3, where all oxides are in equimolar ratios and RE is Nd or Gd or Y. After annealing at 800 °C, all powders contained mainly a phase of C-type bixbyite structure. After laser melting, all samples were quenched in a single-phase monoclinic B-type structure. Thermal analysis indicated three reversible phase transitions in the range 1900–2400 °C, assigned as transformations into A, H, and X rare earth sesquioxides structure types. Unit cell volumes and volume changes on C-B, B-A, and H-X transformations were measured by X-ray diffraction and consistent with the trend in pure rare earth sesquioxides. The formation of single-phase solid solutions was predicted by Calphad calculations. The melting point was determined for the (La,Sm,Dy,Er,Nd)2O3 sample as 2456 ± 12 °C, which is higher than for any of constituent oxides. An increase in melting temperature is probably related to nonideal mixing in the solid and/or the melt and prompts future investigation of the liquidus surface in Sm2O3-Dy2O3, Sm2O3-Er2O3, and Dy2O3-Er2O3 systems.