The high entropy alloy (HEA) composed of five or more elements possesses excellent electrochemical hydrogen evolution reaction (HER) performance in alkaline electrolytic water due to the synergistic action of multiple main elements. However, high-entropy alloy catalysts typically have a single structure, and great challenges remain in designing complex structures (heterostructures) to adjust the electron layout to facilitate water decomposition for hydrogen production. Here, we successfully synthesized NiMoCoMnLa@Ni high entropy alloy (HEA/CNTs@Ni) heterostructures electrocatalysts supported on multi-walled carbon nanotubes (CNTs) by a simple two-step low temperature oil phase method. The results showed that the heterogeneous structure of HEA/CNTs and Ni led to electron reconfiguration and accelerated electron transfer rate as well as the optimized hydrogen adsorption energy and the increased number of active sites of catalyst. Therefore, the catalyst showed high electrocatalytic activity and stability for hydrogen evolution reaction. The overpotential is only 146 mV at 10 mA/cm2 with low Tafel slope of 79 mV/dec in 1 M KOH solution. It is worth noting that the catalyst is maintained at a high current density of 80 mA/cm2 for 24 h, and its current density does not decrease significantly or even shows a trend of enhancement, which effectively improves its HER performance in alkaline solution. This work provides a valuable guidance for fully exploring the potential of HEA catalyst in alkaline electrochemical hydrogen evolution reactions.