Thermal barrier coating (TBC) materials can improve energy conversion efficiency and reduce fossil fuel use. Herein, novel rare earth tantalates RETaO₄, as promising candidates for TBCs, were reassembled into multi-component solid solutions with a monoclinic structure to further depress thermal conductivity via an entropy strategy. The formation mechanisms of oxygen vacancy defects, dislocations, and ferroelastic domains associated with the thermal conductivity are demonstrated by aberration-corrected scanning transmission electron microscopy. Compared to single-RE RETaO₄ and 8YSZ, the intrinsic thermal conductivity of (5RE_1/5)TaO₄ was decreased by 35%–47% and 57%–69% at 1200 ℃, respectively, which is likely attributed to multi-scale phonon scattering from Umklapp phonon–phonon, point defects, domain structures, and dislocations. ${\overline{r}}_{\text{RE}}^{3+}/r_{\text{Ta}}^{5+}$ and low-temperature thermal conductivity are negatively correlated, as are the ratio of elastic modulus to thermal conductivity (E/κ) and high-temperature thermal conductivity. Meanwhile, the high defects’ concentration and lattice distortion in high-entropy ceramics enhance the scattering of transverse-wave phonons and reduce the transverse-wave sound velocity, leading to a decrease in the thermal conductivity and Young’s modulus. In addition, 5HEC-1 has ultra-low thermal conductivity, moderate thermal expansion coefficients, and high hardness among three five-component high-entropy samples. Thus, 5HEC-1 with superior thermal barrier and mechanical properties can be used as promising thermal insulating materials.