High entropy alloys have been attracting more and more attention in recent years due to performance superior to that of conventional alloys, while the high temperature oxidation limites the application development. Compositionally complex makes the high temperature oxidation process quite different between high entropy alloys and a pure metal. Dynamics of different oxidation periods differ a lot. During the early oxidation stage, several elements undergo oxidation reactions, the spieces of oxide and the structure of scales change with time, and the oxidation products will not become unchanging until the stable oxidation stage. This paper will dissect the detailed mechanism of each oxidation stage during the initial selective oxidation, transition oxidation and stable oxidation, and summarise corresponding approaches to improve antioxidation, hence providing theoretical reference for material design and performance control of high entropy alloys.