High‐entropy alloys nanoparticles (HEANPs) are receiving extensive attention due to their broad compositional tunability and unlimited potential in bioapplication. However, developing new methods to prepare ultra‐small high‐entropy alloy nanoparticles (US‐HEANPs) faces severe challenges owing to their intrinsic thermodynamic instability. Furthermore, there are few reports on studying the effect of HEANPs in tumor therapy. Herein, the fabricated PtPdRuRhIr US‐HEANPs act as bifunctional nanoplatforms for the highly efficient treatment of tumors. The US‐HEANPs are engineered by the universal metal‐ligand cross‐linking strategy. This simple and scalable strategy is based on the aldol condensation of organometallics to form the target US‐HEANPs. The synthesized US‐HEANPs exhibit excellent peroxidase‐like (POD‐like) activity and can catalyze the endogenous hydrogen peroxide to produce highly toxic hydroxyl radicals. Furthermore, the US‐HEANPs possess a high photothermal conversion effect for converting 808 nm near‐infrared light into heat energy. In vivo and in vitro experiments demonstrated that under the synergistic effect of POD‐like activity and photothermal action, the US‐HEANPs can effectively ablate cancer cells and treat tumors. It is believed that this work not only provides a new perspective for the fabrication of HEANPs, but also opens the high‐entropy nanozymes research direction and their biomedical application. The ultra‐small PtPdRuRhIr high‐entropy alloy nanoparticles (US‐HEANPs) are fabricated by the universal metal‐ligand cross‐linking strategy. This strategy takes advantage of simplicity, scalability, and genericity. The developed US‐HEANPs exhibit excellent peroxidase‐like activity and possess a high photothermal conversion effect. Under the synergistic effects of peroxidase‐like activity and photothermal action, the US‐HEANPs can effectively ablate cancer cells and treat tumors.