High entropy alloys (HEA) are mostly prepared by casting method, and need subsequent thermomechanical treatment. Powder Metallurgy (PM) is a promising method for making multi-element alloys with high homogeneity and fine microstructures. Several HEAs were prepared by powder metallurgy, including gas atomization (GA), mechanical milling, spark plasma sintering and powder hot extrusion. The results indicated that the pre-alloyed HEA powders were spherical in shape, and were difficult to sinter. Through the combination of mechanical milling and spark plasma sintering, bulk HEAs with a high density and nanocrystalline microstructures can be successfully prepared. The PM HEAs show a high tensile strength more than 1 GPa at room temperature, while maintaining reasonable ductility. Through direct hot extrusion of HEA powder, the primary particle boundaries can be effectively destructed, and the homogeneity of the microstructures and mechanical properties can be further improved.