The high-entropy rare-earth zirconate ((La_0.2Nd_0.2Sm_0.2Gd_0.2Yb_0.2)₂Zr₂O₇, 5RE₂Zr₂O₇ HE- REZs) ceramics were successfully prepared by a new high-speed positive grinding strategy combined with solid-state reaction method. The microstructure, crystal structure, phase composition, and thermophysical and mechanical properties of the samples were systematically investigated through various methods. Results indicate that the samples have a single-phase defect fluorite-type crystal structure with excellent high-temperature thermal stability. The as-prepared samples also demonstrate low thermal conductivity (0.9-1.72 W·m^-1·K^-1 at 273-1273 K) and high coefficient of thermal expansion (CTE, 10.9 × 10^-6 K^-1 at 1273 K), as well as outstanding mechanical properties including large Young’s modulus (E = 186-257 GPa) and high fracture toughness (K_IC). Furthermore, the formation possibility of the as-prepared samples was verified through the first-principles calculations, which suggested the feasibility to form the 5RE₂Zr₂O₇ HE-REZs in the thermodynamic direction. Therefore, in view of the excellent multifunctional properties exhibited by the as-prepared 5RE₂Zr₂O₇ HE-REZs, they have great potential applications in next-generation thermal-barrier coatings (TBCs).