Electrocatalytic carbon dioxide reduction (CO2ER) driven by renewable energy sources to produce high-value-added chemicals is a highly promising strategy for achieving a closed carbon cycle. Cu is the only highly active catalyst capable of producing multi-carbon (C2+) products through CO2ER. However, due to the constraints of existing scaling relationships and competing hydrogen evolution reaction, it is still challenging to achieve high selectivity of a single desired product. In this work, high-entropy alloy (HEA) CuMoRuFeW surface skin on Cu nanorods was obtained by a one-pot co-reduction method. It is revealed that Fe could effectively facilitate the co-reduction of Mo and W precursors and the formation of HEA surface on Cu nanorod. The Faradaic efficiency (FE) for ethylene and ethanol in CO2ER reaches 49.5% and 20.4%, respectively, with a total FEC2 of 69.9% and current density of 250 mA cm−2 at −1.1 V vs. RHE. Theoretical calculations reveal that the Cu–W–Fe combination site is more active in CO2 activation and C–C coupling for C2 products than other sites. This work underscores the importance of HEA in overcoming the constraints of linear scaling relationships and improving the selectivity for C2 products in CO2ER.