In electrocatalysis, the stability issue between catalyst and support still needs great attention. Here, a series of high-  entropy alloy nanoparticles (HEA-NPs) embedded in carbon cloth (CC) were synthesized by using the scalable strategy-microwave heating. Among them, PtRhCoNiCu/CC exhibits outstanding hydrogen evolution reaction (HER) activity (19 and 170 mV overpotential at 10 and 1000 mA cm^-2) and stability (150 h), outperforming other recently reported HEAs catalysts. IrRuCoNiCu/CC displays superior oxygen evolution reaction (OER) activity (166 and 354 mV overpotential at 10 and 1000 mA cm^-2) and stability (150 h), and shows a lower overpotential than recently reported HEA catalysts. In water splitting, IrRuCoNiCu/CC(+)//PtRhCoNiCu/CC(-) electrolyzer achieves 500 mA cm^-2 (1000 mA cm^-2) high current density at 1.76 V (1.88 V) and exhibits excellent stability, which is one of the best catalysts currently. Therefore, the novel supported HEA catalyst with high stability is expected to be a promising candidate material for industrialized water splitting.