Abstract The design of novel High Entropy Alloys for use in high-temperature applications is an area of active interest due to their potential to provide exceptional properties compared to conventional alloys. Since the increased popularity of machine learning, an important cog in the design process has been training surrogate models on alloy properties. However, these Single-Task models are trained on individual mechanical properties and do not take advantage of the relatedness between properties. Multi-Task models can capture the interdependencies between tasks, leading to potentially more accurate predictions for all tasks. In this paper, we investigate if Multi-Task models can show improvement over Single-Task models when used for predicting the mechanical properties of these alloys. To ensure fair evaluation between the models, we apply L0 regularization and skip connections to the models, which allows them to adjust the number of model parameters and depth for optimal performance. We find that the Multi-Task models can leverage task relationships to perform better than Single-Task models, especially for high amounts of missing data in the tasks. Furthermore, adding simple auxiliary tasks can boost Multi-Task performance even further despite not being effective as input descriptors to linear models themselves. We anticipate that the proposed strategies can achieve more accurate predictions and consequently enable better design capabilities for such data-constrained domains without incurring much additional computational cost.